Metal Slug 3 is the best Metal Slug on any console. Besides, all the other console version are direct ports of the Neo-Geo AES version with some added content.
Metal Slug 4 is way better then MS5. You know, it's actually playable. In fact, it's possible to beat it from 1 life once you mastered it. MS5 is horribly broken and follows nonsensical level designs, where the only challenge lies in how many credits you are willing to waste to complete the game.