I've only played up to the SNES, and have never played the Arcade versions, but I am a big fan of Gradius.
I'd suggest Life Force for the NES as soon as it becomes available on the NES, it was my introduction into the Gradius series and deffinitly my favorite. I hope Nintendo can manage to bring Gradius 4 and 5 onto the Wii's VC, I heard those were pretty good.
The Darius series is also great, the music on the SNES game, "Darius Twins" is something else.