The Metal Slug formula hasn't aged a bit.
Metal Slug, the original game, doesn't feature Eri and Fio, and is the easiest, but it was rather different from the other games in a lot of ways and is one of the longest. There were some things, both bad and good, that weren't carried on in the next games, and that makes the original Metal Slug stand out.
Metal Slug 2 is also not so difficult, but is very fun and also introduced the Mars People, who later became the behind-the-scenes antagonists of the series. There were new enemies and lots of hidden goodies for score in the game, as well as introducing the support POW who attacks enemies. New vehicles were also introduced.
Metal Slug X is a special version of Metal Slug 2, including new enemies, remixed sountracks and slightly different locations. It was harder and the framerate issue in the first two games because of all the enemies on-screen was fixed, and it is one of the best games in the series.
Metal Slug 3 is the longest, hardest, most varied and craziest game in the series. Many players still regard it as the best in the series. It was developed right before SNK went bankrupt, and they seem to have been determined to go out with a bang. There are countless different enemies and some of the bosses are extremely hard, but it is one of the most enjoyable games as well. It also introduced different paths to take.
Metal Slug 4 was the only Metal Slug game not developed by SNK. It was developed by Mega Corporation. Inevitably some of the glamour of the previous games was lost, but it was faithful to the series and introduced new characters, as well as allowing the player to pilot new vehicles. It also introduced the Combo system, which never caught on and was dropped in later games.
Metal Slug 5 made some differences to the series. The genre of music was changed and it was more rock and metal, General Morden was not featured in the game, there was no definite antagonist, it introduced the drop-slide mechanic.
Metal Slug 6 is different from the other games. Very. For one thing it introduced the ability to switch levels; for another it let you choose difficulties - on Easy mode your default weapon is a Heavy Machine Gun, while in Hard mode it's the regular gun as well as the full game (you only do 4 missions in Easy mode) - and for yet another new characters, Clark and Ralf, are introduced. The characters also got special abilities, for example Eri is skilled with grenades and Tarma with vehicles. The music genre was changed again, and while truer to the Metal Slug series' original music it isn't as good as the one in Metal Slug 5.
The game also includes special artwork, fan art and a developers interview. The PSP version is the best version, because its screen size can be changed (small, normal and full screen) and it has a save option - unfortunately it saves ALL your progress and throws you smack in the middle when you start instead of loading the mission from the start. Still, the addictive gameplay and the huge replay value more than make up for this.