Or they were pushed out by Sony and it's big bucks. Sony had more money for everything; advertising (there was playstation sponsorship for everything that kids were into; music, skating, sports etc), more money to buy off developers for exclusivity (they literally paid people to make games for the playstation who othewise wouldn't have touched it with a barge pole), they could afford to sell consoles cheap and make losses on each sold (previously unheard of)... I could go on. Corporate business at its best.
Dreamcast had some class games. Shenmue, Rez etc. Anyone?
Well the major factor was that they were hurting financially. The Dreamcast could have held its own if they gave it a chance. Sega had made many blunders before though. Sega CD and 32X, both of which they dropped support for after a short time. That killed the confidence for the viability of their products in many people who had bought the add-ons. The Saturn was also rushed and was a pain to develop for. Dreamcast had the advantage of being easier to develop for.
If I remember correctly, selling consoles at a loss was always the case at the beginning was what every console maker at the beginning of a generation, perhaps with the exception of Nintendo, though I could be wrong there. The PS2 certainly wasn't cheap around the time of its release. Here they were selling it for $600 CAD, which is more than what I bought my XBox 360 for.
I loved the Dreamcast's games. Skies of Arcadia, Shenmue, Phantasy Star Online, Soul Calibur, Dead or Alive 2 and many others.