I only played the 16 bit games, and the Master System Shinobi. And Shinobi X on Saturn.
Revenge is absolutely the best one. Its perfect. I replay it a few times each year. Its level design, controls are as good as it gets. You need to be committed to your actions and manage your kunai, its a typical classic late 80's-early 90's game about memorization. The soundtrack of Koshiro evelates it further.
Shinobi MS and Shadow Dancer are arcade games with ohko. As such I feel they are a bit too much trial and error but still very good.
Shinobi 3 perfected the gameplay. But I felt something got lost with its level design. You can pretty much beeline it. Its fairly forgivable.
Shinobi X I don't remember much about. I didn't like it that much I think.
Sadly i never played the 2 PS2 games. But I know they are my cup of tea. I usually like these 'misunderstood' games.