Well, here's how I view them..
Thunder Force - Er, never played it. Has anyone?
Thunder Force II - This is my personal favorite. The speedy overhead stages bring out the crybaby in many players, but I love challenging myself to complete them as quickly as possible and find them highly enjoyable. The side-scrolling strips are underrated masterpieces. Serious influence for Gate of Thunder here. The eighth stage is one of the greatest shooter levels ever, boasting lots of action, tight maze-like segments that definitely call for strategy in weapon selection, Aero-Blasters-like speed tunnels, and a monster of a boss.
Thunder Force III - This is the only one that I don't like. The enemies and bosses are meek and uninspired, and the level of difficulty would insult a toddler. There's no intensity, no fear of dying is evoked, and the few brief parts that might call for a bit of memorization/strategy (like the rock shifting and changes of direction in Haides) are laughably facile. Some of the background visuals are dull and ugly. The only thing I like about this game is the Haides music. Take away the wavy flames and the Thunder Force name, and no one cares about this cart.
Lightening Force - This would have been my choice had I judged the games "objectively," as it's one of the greatest side-scrolling blasters of all time. I was immediately blown away by the rock music and parallax-heavy visuals, and my amazement still hasn't subsided. The bosses are BEASTS and can take an absolute pounding, and the adventure is long and pretty tough. Lots of slowdown, but it's forgivable considering how ambitious Technosoft was with this project.
Thunder Force V - More great music and some fantastic bosses (Armament Armed Arm, Guardian's Knight, the TF4 ship, etc.). Free Range is a cool weapon but it makes the game too easy, and I don't dig the graphical style. (16-bit Lightening Force looks much better.)