Ace Combat 2
Ace Combat 4
Zelda: The Ocarina of Time
NHL '94
NHL 2002
Metal Gear Solid
Mortal Kombat 2
Tony Hawk 2 and 3

Can't believe nobody's mentioned Mega Man 2. Coolest characters, and best music to boot.

Hmm..I'm gonna stray off a little. Since everyone has named just about everything I would of, here are some sequels that disappointed...
Perfect Dark
Toe Jam & Earl

I think that'd be all I can think of.

Wow, I'm shocked to see that someone else loves the music in Mega Man II. I used to just sit there sometimes and listen to the music. Maybe we should begin a best music in games thread?

Super Mario 3!

The whole Mario and Zelda Series.

Super Metroid

Final Fantasy 3 (aka 6 in japan), 7 and 10

Resident Evil 2

Street Fighter 2

Tekken 3

shining force II (!)

mortal kombat II

My choice: Ultima 2. Built upon everything the first game had, plus you got to fly in a spaceship! Bitchin' for young Groucho at the time.

Also, Perfect Dark is not a sequel. If we call anything built on an engine used in an earlier game a sequel, the list of "sequels" would be endless.