So prior to this becoming Game of the Month, all I knew about Wonder Boy was that it was somehow related to the Adventure Island series, which I had played before. I decided to look up the two series and it's... complicated.
1. Wonder Boy - Arcade, also ported to SG-1000, Master System, Game Gear.
It was an arcade game published by SEGA, all well and good. (The Japanese Master System release was called Super Wonder Boy)
Here we go. The developers of the game, Escape, owned the game, but SEGA owned the rights to the name, characters, etc. So when Escape wanted to do an NES port, they hired Hudson Soft to redo the game but with all new characters and call it Adventure Island, spawning a whole new series.
SEGA on the other hand, continued with the Wonder Boy name, but began introducing RPG elements.
Wonder Boy Series (SEGA)
2A. Wonder Boy: Monster Land - Arcade
This game was ported to the Master System and called Wonder Boy in Monster Land outside of Japan.
3A. Wonder Boy III: Monster Lair - Arcade
Things start to get complicated here. Hudson Soft (who was making the sister-series Adventure Land) got the rights to port future Wonder Boy games to TurboGrafx, except with reskinned characters, so this game made it to the TurboGrafx-CD under the name Monster Lair. SEGA also separately ported the game to Mega Drive under the original title, however it was never released in NA. (NOTE: This is NOT the current GOTM)
4A. Wonder Boy III: The Dragon's Trap - Master System
Okay, so they decided to make a Master System-only sequel to Wonder Boy: Monster Land (the second arcade game), and were going to call it Monster World II: Dragon no Wana. However the Master System was discontinued in Japan by this point, so they only released it in the West, although it did eventually come out in Japan on Game Gear. Hudson again ported the game to TurboGrafx-16 under the name Dragon's Curse, but they were allowed to keep the Wonder Boy characters (in Japan this port was called Adventure Island just to confuse everyone).
5A. Wonder Boy V: Monster World III - Sega Genesis/Mega Drive
THIS is the game we are playing. Also known as Wonder Boy in Monster World in the West. The game was remade for Master System, but that version only released in Europe, and Hudson released a port for the TurboDuo called The Dynastic Hero, which again featured all-new characters.
6A. Monster World IV - Sega Mega Drive
The final game in the series, this game was released only for the Japanese Mega Drive. It is also considered part of the Monster World series, but not Wonder Boy, for whomever is keeping track.
Adventure Island Series (HudsonSoft)
2B. Adventure Island - NES
Oh we aren't done yet. I technically should lump this outside the Adventure Island series, as this is a port of the original arcade game but with new characters.
3B. Adventure Island II - NES
A sequel to the NES game. Fine. However, this game was ported to Game Boy under the name Adventure Island, so the Game Boy versions are one number off.
4B. Super Adventure Island - SNES
Before making Adventure Island 3, they released a new game for Super Nintendo. There is also a mobile game of the same name, but it's actually a port of Wonder Boy: Monster Land because Hudson hates us.
5B. New Adventure Island - TurboGrafx-16
Again slipping in another game before 3. There's nothing fancy or confusing about this one.
6B. Adventure Island 3 - NES
Three games all released in 1992?! They were busy. This one was also ported to Game Boy under the name Adventure Island II: Aliens in Paradise (the subtitle was left out in Western releases).
7B. Adventure Island IV - NES
Only released in Japan on the Famicom
8B. Super Adventure Island II - SNES
The last "classic" Adventure Island game, it includes exploration and RPG elements, making it more like a Wonder Boy game.
9B. Adventure Island: The Beginning - WiiWare
This is certainly not the beginning. This 2009 game is the most recent release to either series.
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So there you go. I hope I got this right, I've only actually played the first NES Adventure Island game, then the GOTM Genesis game. Shoutout to Wikipedia for helping me out. There isn't a page for the Adventure Island series as a whole though, maybe I should look into that. In case you're curious, SEGA owns the Wonder Boy line, but Konami owns Adventure Island after buying Hudson.