I've been meaning to pickup the MSX games, but the multiple versions confuse me...
Here is the 'splanation.
Hydlide 1 MSX1:  monochrome sprites and stuff, on a cartridge.  Password based w/ volatile save ram (If you turn the system off, your save state dies).  Its still extremely legit, and I prefer it over the NES on.
Hydlide 1 MSX2: Same game, but on a floppy.  256 color mode (looks better than NES), and lets you save to disk.  Get this one if you can.  It usually costs more.  
Hydlide 2 MSX1:  It saves properly, and its fun.   I skipped class to play it last semester, lol.
Hydlide 3 MSX1: Ugly. 
Hydlide 3 MSX2: Not Ugly, and the same exact game.
Its kind of like MSX1/MSX2 version of Drasle Family (legacy of the wizard).  Same exact game, except the MSX1 one has monosprites.
Hydlide in general doesn't get the credit it deserves