Unfortunately, Sega released many games exclusive to PAL format, so buying from Europe is the only way to experience these. Fortunately, Sega made no region lock in their Master System consoles, so PAL plays fine on NTSC systems and visa versa.
Another factor in buying PAL Master System releases is price. Even on games that got both format releases, often US ebay prices are higher than European sites. It pays to scour ebay's French, British, and Spanish sites for cheap Master System game deals. I would add Australia to that list except for the fact that shipping fees from that country are usually prohibitive.