I like Lightening Force the best because it has outstanding graphics, and great gameplay too. The game is one of the best looking Genesis games, but it plays great too. At least at first the 100-life "code" is worth trying, though; it's a tough game, so it's fun to have enough lives to actually be able to beat it. But yeah, awesome game. I love it. And those graphics... wow. But yes, the gameplay's just as great as the visuals are.
As for the others, Thunder Force II has ... early ... graphics, and the gameplay is just okay. I actually think the topdown stages are decent, and like them more than the side-scrolling ones, but most people seem to feel the opposite. Regardless, the graphics are unimpressive and bland, it looks like the very early title it is, and the side-scrolling stages really aren't that great. They also get hard.
Thunder Force III is probably the easiest of the three. I don't have it, but I"ll get it sometime. It's a very popular game, and might be the most popular of the three Genesis games. I like the fourth one more, from what I've played of it, but it is a good game for sure. Graphics are in between II and IV; they're not bad, but aren't great either.
I do have Thunder Spirits for SNES, though. I like it; sure, it has more slowdown than TF III, and probably isn't quite as good as the original, but it's a pretty good shooter. It's interesting to see how it's similar to TF III, but not quite the same... it's worth having, I think. Even if it's not exactly the best SNES shmup, it's pretty fun.