
Hmm, that's tough. Most of the games I've always wanted are readily available digitally (mostly Treasure's back catalog, even Radiant Silvergun), though I'd much prefer the physical releases. I think I'd have to go with KnightDriver and say Panzer Dragoon Saga because there is still no good way to play it other than the Saturn.
If we're talking games that don't exist, I'd want a new Chrono game.