I for some reason enjoy the first one the most, but I'm not really picky over one or the other really so when I get in the mood to lose a lot of invisible quarters I'll fire up whichever at random as they're all fine in the end. That said I only own a legit 1 and 2, but I have the others on that 161in1 cart.
For me the first was never beaten by its sequels, though I think up to 3 kept the quality high. (X probably being my second favourite, 3 often feels too long) I replayed 4 recently and it just felt like a chore to get through it, haven't played 5 since selling my AES copy a few years ago, but it was never a go to game.
If you have the memory card function on MVS you can start from the later levels. So if you feel solid on the first couple levels, you can always get more playing time on the later levels. This makes MS3 more manageable.
I thought everyone loved 3? I mean, yeah the last level is a little much, but that's always been my favorite, followed by 2 and X. MS4 is a pile of crap...5 is decent, though still nowhere near the first 3.
nowadays I only play 1. After decades of slugging, the games just kinda blur together now. 1 is messed up in certain ways (easily blowing through bosses with grenades being the biggest problem), but it just has a spirit all the other games lack. You can tell it was made by a scrappy team that really wanted to put out something special.
I have always like playing 5 some of the stages seem really strange how they are constructed particularly stage 4. I also hate that damn sand submarine annoying as hell.