My favorite has been Billy Hatcher and the Giant Egg for some reason. I just hate to see that game falling into obscurity and I want Sega and Nintendo to make a version for the Switch. I never played it myself but some of my friends know about it and after watching a long play I kind of thought it was cute. I think it deserves a sequel despite all the criticism other people have given it.
EDIT: Was it released for the Dreamcast? I might be biased here, I haven't done Sega in a while and don't know where all the games got released. I misunderstood the question anyway.