No built in game. The oldest models didn't come with a game built in. It just boots to an instructional screen when powered on without a cartridge inserted.
I like that the controller came with the stick, but I still prefer to just use the d-pad without the stick.
I'm happy that I now finally have every Sega console (except the Nomad, but that's not really a separate console since it doesn't have games designed just for it). I bought a SMS around a year ago, but it had a bad controller port. This is the first one I've found locally (and for a good price) since then.