Not really "made" by Sega, but was exclusive for a long time.
While it didn't stay on the Sega system after the first game, I'd have to say that I prefer Jet Grind Radio...or maybe Phantasy Star Online...oh bugger, I can't decide...
Umm...
Okay, Jet Grind Radio. Phantasy Star was fun, but Jet Set just beats it by a little bit.