One of the underwater sections in Metal Slug 3 has a really awesome track. I think it's only played at that point too.
I'm thinking it's if you take the first alternate path in Mission 3 (through the pipe). You immediately get a Submersible-Slug. I'm pretty sure it's not in Mission 1.
Anyway, rocking ass track.
MS3 has good music, but I really dig MS5.
MS2 has music that fits really well with the levels, particularly Mission 1, Mission 2, and Mission 4.
Mission 2's music is almost creepy when you get to the tower section.