Thrill Kill (1 to 4 players single screen) [Beat Em Up ish] {Was banned before release but is a very fun game, it's a must have multiplayer (It's rather tame to what the censors let through now)}
Blaze and Blade (1 to 4 players single screen) [3D Action RPG] {It can take a little to create the characters though but once in game it is fun to play multi player, not so good for single player though}
Quake (1 to 4 players split screen) [FPS] {It might of been 2 that I am thinking of not 100% sure}
Atari Collection (1 to 4 players for Gauntlet or I think it was)
Gauntlet games (1 to 4 players usually, not sure as I don't even remember playing that on the PSX)
They are just off the top of my head though, I'm sure there will be more games :/
the Doom games are link up games from what I remember as is Duke Nukem 3D something Sony dropped from the PSX later on in it's life and removed the link up cable port
A late reply I know
Castlevania Symphony of the Night, one of the few I would actually playone of the few that is actually very very fun to play, yes it is a bit more indepth than most side scroller's but you can just pick up and play it, save when you want to play something else ect
Not heard of Rave Master..., this makes it hard to recommend anything