Allow me to help you guys out.
Jet Set Radio is available in three formats.
Jet Set Radio (under the title of Jet Grind Radio) - Dreamcast
Jet Set Radio Future - Xbox
Jet Set Radio - Game Boy Advance
I wouldn't recommend the GBA version. >_> Though if you can get a Dreamcast or Xbox, JSR and JSRF are rather cheap to afford and easy to get from online stores or online auctions.
Shenmue is a rather tough one.
Shenmue - Dreamcast
Shenmue II (JAPAN AND EUROPE ONLY) - Dreamcast
Shenmue II (US ONLY) - Xbox
Take your pick. Shenmue II for the Xbox includes a DVD which includes all the cut scenes from the original game so you can follow up on what occured. I believe the game's out of print, so I'd suggest grabbing it quickly if you have an Xbox. The first game shouldn't be too hard to find.
NiGHTS into Dreams..oh dear.
NiGHTS into Dreams - Saturn
Christmas NiGHTS into Dreams - Saturn
Funny thing is that Christmas NiGHTS is even rarer to find for a US Saturn. You can find a good amount of Japanese copies on eBay, but you'll be lucky to find and win a US copy. The standard game is rather simple to find. But you can expect to pay some cash for the game as well as a seperate analog controller. Most of the time, you won't find the controller included with the game. If you do, it'll cost ya. Also, Sega Saturns don't appear to be that difficult to find.
Space Channel 5 is an easy one.
Space Channel 5 - Dreamcast
Space Channel 5 Part 2 (JAPAN ONLY) - Dreamcast
Space Channel 5 Part 2 - PlayStation 2
Space Channel 5: Ulala's Cosmic Attack - Game Boy Advance
This game is easy as all hell to find and it's dirt cheap. I bought my Dreamcast copy for only $1.99 and it was SEALED. You can pretty much find the first and second game anywhere online. As well as the GBA one.
Phantasy Star's a little difficult.
Phantasy Star - Master System
Phantasy Star II - Genesis
Phantasy Star III - Genesis
Phantasy Star IV - Genesis
Phantasy Star Collection - Game Boy Advance
First off, the first three games can be found in the GBA collection. The originals, however, are difficult to obtain and usually cost a pretty penny. Especially the fourth game.
Phantasy Star Online - Dreamcast
Phantasy Star Online Ver. 2 - Dreamcast and PC
Phantasy Star Online Episode 1 & 2 - GameCube and Xbox
Phantasy Star Online Episode 3 - GameCube
Phantasy Star Online Episode 1 & 2 Plus - GameCube
Phantasy Star Online Blue Burst - PC
These are a little tricky. The first two versions are extremely easy to get in the US. However, online support for the US games have been discontinued although there are private servers available as well as people who've found ways to trick the game into allowing US players into playing on European and Japanese servers. The PC version of Ver. 2 is only available in Japan, though support for it has been discontinued.
Ep. 1 & 2 are still being supported online, however, they're no longer in print. Ep. 1 & 2 Plus is a fix of the GameCube version due to bugs that occur online that can affect your memory card and to prevent people from exploiting glitches to duplicate items. It also includes new, offline quests.
Episode 3 is still in print and still supported online. Blue Burst is available to purchase from Japan in the standard CD format. However, there is support for the English speaking players as Sega of America has made it available to download for FREE and all you pay is a simple bill of $8.95 a month.
Phantasy Star Universe is due for release pretty soon in Japan. It will be supported by the PC and PS2 (as well as a later Xbox 360 release).
Skies of Arcadia is available on the Dreamcast and GameCube. Though both are out of print and require a bit of searching.
Ecco the Dolphin's been available on several Sega platforms. However, the Dreamcast release is also available on the PlayStation 2.