Or inside a bigger game like Shenmu. Can we get a list here. It would be helpful to have this info in one place. Thanks.

I'll make a start in a second - I presume you mean the two compilations Sega Mega Drive Collection and Ultimate Mega Drive Collection (Sonic's Ultimate Genesis Collection in the US) as well as the two Sonic compilations Sonic Gems Collection and Sonic Mega Collection?

Shouldn't be a long list...

To the best of my knowledge, none of these titles are available on other consoles than the Genesis (I'll happily accept revisions though as this is just my memory!)

Alien Soldier 8/10 Sega 1 Action 05 Nov 07 02 Nov 07
Bio-Hazard Battle 6/10 Sega 2 Shooter 26 Feb 07 02 Mar 07
Boogerman: A Pick and Flick Adventure 7/10 Interplay 1 Action 24 Nov 08 12 Dec 08
ClayFighter 4/10 Interplay 2 Fighting 25 May 09 06 Feb 09
Crack Down 7/10 Sega 2 Arcade - 07 Sep 07
Earthworm Jim 8/10 Interplay 1 Action 27 Oct 08 03 Oct 08
Forgotten Worlds 7/10 Sega 2 Shooter 17 Nov 08 28 Nov 08
Galaxy Force II 4/10 Sega 1 Shooter 11 May 09 01 May 09
Ghouls 'n Ghosts 9/10 Capcom 1 Action 27 Aug 07 07 Sep 07
Gley Lancer 8/10 Nippon Computer Sy.. 1 Import 21 Jul 08 16 May 08
Gunstar Heroes 9/10 Sega 2 Action 11 Dec 06 15 Dec 06
Landstalker 9/10 Sega 1 RPG 03 Sep 07 05 Oct 07
Light Crusader 7/10 Sega 1 RPG 31 Dec 07 07 Dec 07
Mega Turrican 8/10 Sega 1 Action 14 Apr 08 20 Mar 08
MUSHA 9/10 Sega 1 Shooter 19 Jan 09 -
Pitfall: The Mayan Adventure 8/10 Activision 1 Platformer 13 Apr 09 15 May 09
Powerball 5/10 Sega 2 Sports 24 Mar 08 -
Puyo Puyo 2: Tsuu 7/10 Sega 2 Import 10 Mar 08 09 May 08
Rolling Thunder 2 8/10 Namco Bandai 2 Arcade 24 Dec 07 07 Dec 07
Splatterhouse 2 7/10 Namco Bandai 1 Fighting 04 Aug 08 08 Aug 08
Street Fighter II: Special Champion Edition 8/10 Capcom 2 Fighting 13 Oct 08 17 Oct 08
Super Fantasy Zone 8/10 Sunsoft 1 Shooter 21 Jul 08 27 Jun 08
ToeJam & Earl 7/10 Sega 2 Action 25 Dec 06 22 Dec 06
ToeJam & Earl in Panic on Funkotron 5/10 Sega 2 Action 04 Jun 07 01 Jun 07
Wolf of the Battlefield: MERCS 7/10 Sega 1 Shooter 09 Feb 09 20 Feb 09
Wonder Boy III: Monster Lair 3/10 Sega 2 Shooter 20 Apr 09 06 Mar 09
Wonder Boy in Monster World

Revenge of Shinobi

I mean any. I know some might only be in compilations from Japan. Some may be hard to get too. I Might get a game that is in a compilation if it's hard to get.

Ignoring games that have potential licenses issues and/or are very likely to be fully/partly owned but a second party, these are the first party releases by Sega for Mega Drive/Genesis not featured in any compilations as far as I know:
Alien Soldier*
Art Alive!
Aworg
Battle Golfer Yui
Bio-Hazard Battle*
Body Count
Chou Yakyuu Miracle Nine
Columns III: Revenge of Columns*
Crack Down*
Crusader of Centy
Crystal's Pony Tale
Cyborg Justice
Dodge Danpei
Doki Doki Penguin Land
Eternal Champions*
G-LOC Air Battle
Greendog: The Beached Surfer Dude!
Gunstar Heroes*
Hyper Marbles
Jewel Master
King Colossus
Kiss Shot
Landstalker*
Last Battle
Light Crusader*
Medal City
MegaMind
Monster World IV
Mystic Defender
Nightmare Circus
OutRun
OutRun 2019
OutRunners
Paddle Fighter
Pengo
Phantasy Star II - Amy's Adventure
Phantasy Star II - Anne's Adventure
Phantasy Star II - Huey's Adventure
Phantasy Star II - Kind's Adventure
Phantasy Star II - Nei's Adventure
Phantasy Star II - Rolf's Adventure
Phantasy Star II - Rudo's Adventure
Phantasy Star II - Shilka's Adventure
Pulseman
Putter Golf
Pyramid Magic
Pyramid Magic II
Pyramid Magic III
Ranger-X
Riddle Wired
Robot Battler
Sonic Eraser
Space Harrier II*
Super Fantasy Zone*
Toejam & Earl*
Toejam & Earl in Panic on Funkotron*
Turbo OutRun
Ultimate Soccer (might be the property by Rage though)
Virtua Racing
Wonder Boy III - Monster Lair*
Wonder Boy in Monster World*
World Championship Soccer
World Championship Soccer II
Zoom!

• = Available on WiiWare