An old, obscure classic. Jersey Devil got released for PS1 and Windows in 1998 by Behaviour Interactive (Yes, the same company that gave us Naughty Bear and Dead by Daylight).
The game is of the "unforgivable hard" category, but it compensates by showering you with extra lives. It also had a fully orchestral soundtrack that wouldn't feel out of place in a Batman cartoon. I don't know why I like this game, maybe because I love the idea of a devil, a creature supposedly absolutely evil, going all the way to save a city.
JD (fan nickname, nobody knows if he got an actual name) shares several similarities with Naughty Bear. Mostly being a silent protagonist feared by all but still willing to help.
A fun fact: the japanese release was covered by Konami.