You should give Alex Kidd's game a try. The Master System didn't have save files at all so it was also a gauntlet to play. But what I found surprising was that the game was more than just about Alex reaching the riceball at the end of each stage but a story began to subtly unfold. But the stages begin to be more challenging and there were some stages purely for small cutscenes and such.
If you wanted to finish the story you had to finish the game in one sitting, a game which challenges you more the more you play which just makes the ending more satisfactory.
I wish Sega didn't just retire Alex Kidd after the Master System's life.