Daisenryaku and Operation Europe are both very good WW2 based hex strategy games. There are also Daisenryaku games for SNES that play okay on the GP32. Panzer Commander is a nice looking and sounding tank warfare game. Vixen 357 is another little known strategy game that is worth a look.
I got my GP32 from Lik-Sang about a year ago. As a special treat I even spent extra on priority shipping to the UK. For the first time ever I ended up being hit by a customs charge. I had to pay this at the door of my house at it was enough to make me wish I'd ordered from Gbax. About 30 quid is...
The Dorokey baseball game is great. There are also Dorokey soccer and puzzle games which play well.
My suggestions are:-
SNES
Utya Race Astro Go! Go! - Great Mario Kart alternative.
Super Famicom Wars - Hex based war game. If you like Daisenryaku you'll enjoy this.
Puzzle Bobble
Cameltry - A...
One good alternative to Castle of Illusion is Strider. This is another classic Megadrive platformer that in many ways plays very much like Castle of Illusion. If you like Mickey, give Strider a try. The best part of it is that there is no slowdown and the sound works perfectly with FGen.
Fantasia was hopeless I'm afraid. I wonder how many decent Megadrive platformers work well on emulators. That's to say with sound and little or no slowdown. I can't think of any off hand.
There are some obscure ones for the SNES that work nicely on the GP32:-
Utya Race Astro Go! Go! - This is a Mario Kart clone with surreal graphics that runs more or less full speed.
Zen Nihon GT - Isometric sports car racing. Some Japanese text but nothing too heavy.
King of Rally - An...