Here's my list, no particular order, I may be forgetting something, I'll update it later.
Asterisks are my personal favorites.
*Jimmy Connor's Tennis
Super Missile Command & Asteroids
Todd's Adventures in Slime World
Gates of Zendocon
California Games (this was the "pack in" title with the Lynx in 1990 -- not sure if I still have it)
I wish I had bought Klax, Awesome Golf, Lemmings, some others.
A lot of the games on my list sounded good on paper, but I found lacking in sound or fun factor. The Robotron and Joust arcade translations are quite wonderful, esp. in the sound department. Jimmy Connors Tennis has crisp voice sounds for the umpire, and is probably one of the best tennis titles I've played on a handheld (PSP has some good ones too).
otoh, I found the sound in some titles like Zencodon, Slime World and the Missile Command/Asteroids game sorely disappointing. The Lynx was certainly capable of terrific sound and digitized voices (Klax has some good voices apparently too), so I found it odd to run into so many titles with so-so sound effects or repetitive sound effects that became annoying.
There are lots of Atari enthusiasts sites, and plenty of places online that you can still buy the game and both models of the system, fwiw.
There's a nice list of the games here, including some games released independently after Atari gave up on the system, and some oddities like the "rolling demo" of Blue Lightning (which I guess is what I saw in the display case at Toys'R'Us in 1990):http://www.atariage.com/software_list.html?SystemID=LYNX