From what I hear, as far as Ninja Gaiden games go, the Game Gear version is pretty much the worst of the classic NG games. I couldn't exactly tell you why, I'd have to go look up the article I read up on the series on and tell you. From what I also hear, the Master System version isn't quite as good as the NES trilogy, it's still worth playing.
The NES games are pretty good, but they're a bit too 8-bit for me. It's basically Castlevania on nitro, which isn't a bad thing. If you like Castlevania.