You won't find a better collection of action games anywhere else.
You get seven games: Metal Slug 1, 2, X, 3 ,4 ,5, and 6. The gameplay is top notch. Shoot soldiers, aliens, tanks, planes, giant warships... you know the drill. It all works great. You can have a buddy join you in co-op play, too. There are also several different ways to control. A couple of them work great, but the other ones are kind of lame.
The graphics and sound quality is great. The hand drawn characters and backgrounds look awesome. Metal Slug has always been one of the best looking arcade games around. The music is cool, too. Each level gets a tune that suits the environment and situation perfectly.
The extras packaged in with the game are decent, but there aren't enough of them. You get some cool art galleries, music, and an interview (text interview, not a video interview). I wish there would have been more in the extras department, but you'll have to deal with what they give you.
Overall, Metal Slug Anthology is a must have for action fans. $40 will get you seven awesome games, some decent extras, and one hell of a shooting experience.