Here's my old list of TG16/CD games which support the multitap. It should be complete. A second section listing only the shmups is at the end.
Turbografx/PC Engine games require a TurboTap multitap for any simultaneous multiplayer modes -- the system has only one controller port. The multitap supports up to five players.
Sources:
http://www.pcenginefx.com/forums/index.php?topic=1834.0
http://www.pcecp.com/ (dead site; hopefully someone fixes it, it's needed!)
HuCard Games (including standard and (marked) SuperGrafx games; SuperGrafx first, then games released in the US, then Japan only titles)
Incorrect Listing in Database - No Multiplayer
--
Psychosis (incorrectly listed as 1,2 player in the database)
One Player, but with a multitap you can play with one of the other controllers
--
(JU)
Pac-Land
Alternating Multiplayer (Two Player) (unless noted, the players alternate on one controller) ("1,2" player)
--
(J) (SuperGrafx)
Madou-Ou Granzort
(JU)
Devil's Crush (players do use different controllers, so multitap is required)
Fantasy Zone (incorrectly listed as 1-2 player in the database)
Legend of Hero Tonma
Ninja Spirit (players do use different controllers, so multitap is required)
(J)
Gradius
Parodius Da! (incorrectly listed as 1-2 player in the database)
Toy Shop Boys (incorrectly listed as 1-2 player in the database)
Two Player Simultaneous ("1-2" player)
--
(J) (SuperGrafx)
1941: Counter Attack
(U)
Andre Panza Kick Boxing (incorrectly listed as "2" player (only) in the database)
Yo'Bro
(JU)
Aero Blasters
Ballistix
Bonk 3 - Bonk's Big Adventure
Cadash (incorrectly listed as "2" player (only) in the database)
Chew-Man-Fu
Champions Forever Boxing
Double Dungeons
Falcon (TurboExpress Link ONLY!)
Final Lap Twin
Military Madness
Ordyne
Parasol Stars: The Story of Bubble Bobble III
Shockman
Super Volleyball
Takin' it to the Hoop
World Class Baseball
(J)
15-in-1 Mega Collection
1943 Kai
5-in-1 Famicom Collection
Bullfight Ring No Haja
Burning Angels
Columns (TurboExpress Link ONLY!)
Cyber Dodgeball
Detana! Twinbee
Don Doko Don
Downtown Nekketsu Monogatari (NES: River City Ransom)
Dragon Saber - The After Story of Dragon Spirit
Fighting Run
Fire Pro Wrestling - Second Bout
Fire Pro Wrestling 3 - Legend Bout
Hani on the Road
Honou No Toukyuu-ji Dozzi Danpei
Juuouki (Altered Beast) (the CD version is one player only, but the cart is two player)
Kaizou Ningen Shubibinman
Kickball
Kore Ga Pro Yakyuu '89
Kore Ga Pro Yakyuu '90
Monster Pro Wrestling
Naxat Stadium
Nekketsu Koukou Dodge Ball Bu: PC Bangaihen (NES/NeoGeo/etc: Super Dodge Ball)
Operation Wolf
Power Eleven
Power League
Power League All Star Gold HuCard
Power League II
Pro Yakyuu World Stadium
Puzzle Boy (also supports TurboExpress Link) (database incorrectly lists it as 1 player or link only, but it supports 1 or 2 players and link)
Racing Spirits
Ryukyu
Salamander
Shogi Shodan Icchokusen
Shogi Shoshinsha Muyo
Spin Pair (also supports TurboExpress Link)
Street Fighter II': Champion Edition
Strip Fighter II
Toilet Kids
Tsuppari Ozuma Heiseiban
Zero 4 Champ
Three Player
--
(JU)
Power Golf
(J)
F1 Triple Battle
Four Player
--
(JU)
Davis Cup Tennis
Hit the Ice
Jack Nicklaus Turbo Golf
Sonic Spike Volleyball
World Court Tennis
(J)
21 Emon
Break In
Champion Wrestler
F1 Circus (1 player only for races I think; the multiplayer is some odd mode)
FInal Match Tennis
Fire Pro Wrestling
Formation Soccer Human Cup '90
Formation Soccer On J League
J League Greatest Eleven
Naxat Open
Nekketsu Koukou Dodge Ball-Bu PC Soccer-hen (NES: Nintendo World Cup)
Power League '93
Power League III
Power League 4
Power League 5
Power Tennis
Pro Tennis World Tour
Pro Yakyuu World Stadium '91
Super Momotarou Densetsu
Winning Shot
World Beach Volleyball
World Jockey
Five Player
--
(JU)
Battle Royale
Bomberman (also supports TurboExpress Link)
Bomberman '93 (also supports TurboExpress Link)
Dungeon Explorer
King of Casino
Moto Roader
TV Sports Basketball
TV Sports Hockey
TV Sports Football
World Sports Competition
(J)
Appare! Gateball
Battle Lode Runner
Bomberman '94
Moto Roader II
Super Momotarou Densetsu II
You-You Jinsei
2-5 player (no 1p)
--
(J)
Bomberman '93 Special
Bomberman Users Battle
CD Games (including CD-ROM2, Super CD-ROM2, and Arcade CD-ROM2 titles, Arcade CD titles marked)
Two Player
--
(U) (Super CD)
Bonk 3 Bonk's Big Adventure CD
John Madden Duo CD Football
(JU) (CD)
Buster Bros.
Fighting Street
Monster Lair
Splash Lake
Vasteel
(JU) (Super CD)
Forgotten Worlds (via code only, p2 is the floating orb)
Godzilla
(J) (CD)
Efera & Jiliora - The Emblem from Darkness
Hellfire S - The Another Story
Kaizou Ningen Shubibinman 3 Makai no Princess
Legion
Pro Yakyuu, The
Quiz Donosama No Yabou
Rom Rom Stadium
(J) (Super CD)
Advanced V.G.
Ai Cho Aniki
Ane-san
Aoki Ookami to Shiroki Mejika
Asuka 120% Maxima Burning Fight
Bonanza Brothers
Cardangels
CD Battle Hikari No Yuushatachi
Chiki Chiki Boys
Double Dragon II: The Revenge
Downtown Nekketsu Monogatari
Faceball
Faceball, Sample disc of
Flash Hiders
Galaxy Deka Gayvan
Kakutou Haou Densetsu Algunos
Kick Boxing (The)
Lemmings
Magicoal
Martial Champions
Mystic Formula
Neo Nectaris
Pop'n Magic
Pro Yakyuu Super (The)
Pro Yakyuu Super '94 (The)
Psychic Storm
Puyo Puyo CD
Puyo Puyo CD Tsuu
Rainbow Islands
Shogi Database Giyuu
Space Invaders The Original Game
Tecmo World Cup Super Soccer
Travel Epuru
(J) (Arcade Card Supported, CD/Super Card Required (better with Arcade Card))
Wrestling Angels Double Impact
(J) (Arcade Card Required)
Art of Fighting
Battlefield '94 In Super Battle Dream
Fatal Fury 2
Fatal Fury Special
Ginga Fukei Densetsu Sapphire
Kabuki Itouryodan
Mad Stalker Full Metal Force
World Heroes II
Three Player
--
(J) (CD)
Sankokushi Eiketsu Tenka Ni Nozomu
(J) (Super CD)
Go! Go! Birdie Chance
Metamor Jupiter (players 2 and 3 can control the helper bit things, I believe; it may require a code)
Four Player
--
(JU) (CD)
Jack Nicklaus Turbo Golf
(J) (CD)
Color Wars
Sugoroku '92 Nari Tore Narigari Trendy
Super Albatross
(J) (Super CD)
Davis Cup Tennis (The)
Deden No Den (sometimes called Denden no Den, and incorrectly listed as "2" player in the database)
Downtown Nekketsu Soreyuke Daiundoukai
Dragon Half
Human Sports Festival
Motteke Tamago
Police Connection
Power Golf 2 - Golfer
TV Show (The)
Zero i Tore Nariagari
Zero 4 Champ II
(J) (Arcade Card Supported, Super CD Required (better with Arcade Card))
Formation Soccer '95
J. League Tremendous Soccer '94
Five Player
--
(JU) (Super CD)
Dungeon Explorer II
(J) (CD)
Dekoboko Densetsu: Hashiru Wagamanma
IQ PANIC
Quiz Avenue
Quiz Avenue II
Quiz Caravan Cult Q
Quiz Marugoto The World
Quiz Marugoto The World 2 Time Machine Ni Onegai!
Shanghai III: Dragon's Eye
(J) (Super CD)
Bomberman - Panic Bomber
Moto Roader MC
Police Connection
Quiz Avenue III
Quiz no Hoshi
The Davis Cup Tennis
The TV Show
Zero 4 Champ
2-5 player (no 1p)
--
(J) (Super CD)
Bomberman '94 Taikenban
1-8 (Alternating)
--
(J) (Super CD)
Nobunaga No Yabou Bushou Fuu Roku
Nobunaga No Yabou Zenkokuban
Sangokushi III
SHMUPS
HuCard
--
JP SuperGrafx
--
1941: Counter Attack
--
US+JP
--
Aero Blasters
Fantasy Zone (alternating multiplayer only)
Ordyne
Psychosis (alternating multiplayer only)
--
JP Only
--
1943 Kai
Detana!! Twinbee
Dragon Saber - The After Story of Dragon Spirit
Gradius (alternating multiplayer only)
Parodius Da! (alternating multiplayer only)
Salamander
Toilet Kids
Toy Shop Boys (alternating multiplayer only)
--
CD (Arcade CD, Super CD, or CD noted)
--
US+JP
--
Buster Bros. (CD) (static shooter)
Forgotten Worlds (Super CD) (2 player mode is via code only, p2 is the floating orb)
Monster Lair (CD) (part shmup, part autoscrolling sidescrolling action game)
--
JP Only
--
Ai Cho Aniki (Super CD)
Ginga Fukei Densetsu Sapphire (Arcade CD)
Hellfire S: The Another Story (CD)
Legion (CD)
Metamor Jupiter (Super CD, Three Player) (players 2 and 3 can control the helper bit things, I believe; it may require a code)
Psychic Storm (Super CD)
Space Invaders The Original Game (Super CD) (static shooter)
As far as run & guns go, I think that Mystic Formula might be the only one with multiplayer... and it's not exactly loved. Seems to be considered average at best.