I agree with Insano. Any achievement that makes you enjoy the game in a different way, is a good one. Further, anything that rewards a difficult feat, like beating certain levels without taking damage or reaching hidden areas in a level, are also good ones. Those may not be as good as secret power-ups or anything, but they're less disappointing that a 3up Moon. That acknowledgement of having done something difficult it what makes them feel rewarding.
They can backfire though. You might hit a bonus stage and get the "didn't take a hit" achievement when there weren't actual enemies. Or the aforementioned "beat level X" achievement, where beating the level should be its own reward.