I did, ages ago, on Sega CD. Although the American version was "toned down" due to scenes of violence and graphic nudity, among other things (As read in a issue of Electronic Gaming Monthly, also ages ago).
My only gripe was that without the light gun, it made the shooting sequences 10x harder (using the controller to shoot sucked). The storyline, graphics, and sound were all top-notch for it's time, however.
Lucky for me, I found a copy of the Snatcher/Policenauts soundtrack cheap on EBay.... wink