I've always felt that Metal Slug 3 is the best in the series due to the numerous branching paths that are in most levels. Also, the final level has to be the most epic final mission in any game that I've played over the years. The last level just goes on and on and on and on in the best sense possible.
Metal Slug 4 gets my vote as the worse of the series even though it still isn't really a bad game as a lot of people make it out to be. The biggest problem that I have with 4 is that a lot of the bosses can "trap" you in the most cheap fashion which is a big no-no in these type of games.
Metal Slug X (which is a re-mixed version of 2) gets my vote as the 2nd best of the series.