Contra III: The Alien Wars
I was not very keen on the lack of screen real estate compared to the previous titles, and it often means you have to shoot stuff just as it's appearing on-screen, which is kinda meh.
However, the game more than makes up for it with the incredible amount of exciting setpieces. 6 stages as opposed to 8, but they didn't waste a single inch of any of them. So much crazy stuff happens in this game! It's awesome.