Yea, Metal Slug Anthology on Wii is a very nice collection. The ability to continue unlimited kind of made it a lot easier but I believe there is a way to tinker with the amount of lives. Without the unlimited lives I probably wouldn't have beaten all of them or it would have taken me a lot longer.
You should also check out Top Hunter: Roddy & Cathy from SNK (Neo Geo). It is on VC and it is similar to Metal Slug but different in many ways. At first I was like this game is like so-so when compared to Metal Slug. However, it is pretty fun once you get going further into the game. A lot of the levels you jump back and forth between the foreground and background. There are also special moves for each character like you would do for a street fighter move (like throwing a fireball motion).
http://en.wikipedia.org/wiki/Top_Hunter:_Roddy_%26_Cathy
