It's pretty much the best 2D sidescroller series out there, with unrivaled graphics, fun as hell gameplay, and humorous to boot. I feel games like Metal Slug are really what gaming is all about, and that's to make you have a whole ton of fun playing them.
My personal fave would be MS 2, which was epic. But MS 3 is really good too, if only the last level wasn't so drawn out (and somewhat ugly looking).
My only problem with it is that once you're done beating a Metal Slug game, your brain is fried because of all the explosions and stuff, and the head feels heavy. Also, you may feel that the floor you are standing on is not altogether stable. The game is very brain stimulating, and I don't mean it causes you to think, I mean it wears you out with all the explosions and flashing lights (all of which look really great btw, best animations on a 2D game and whatnot). But hey, I guess it's a small price to pay for the blast you have playing these games.