I bought it, and I played it a ton at first. They're great games, but I admit, after playing it for a good 3-4 days I left it alone for awhile. Just yesterday, though, I popped it in again with my buddy and we had a great time playing Metal Slug 3. For the money that it would cost to buy/import all of these games, it is definitley worth it in my opinion. Even if you only play it while you have a buddy over.
It offers lots of control schemes, but I think the best is just with the Wiimote, holding it classic style and jumping with 1, shooting/knifing with 2, and grenading with B/Shaking Wii Remote. You of course move with the D-Pad. If you enjoy run 'n gun games, this is top notch, you can't find better games to suit your needs.
Like I said, it is fun single player, but it's funx10 with a friend. Keep that in mind when you decide to purchase it.
Shaking to grenade is actually quite enjoyable, I find it works just as good if not better than having nades mapped to a button, but if that doesn't suit your fancy, just press the trigger.
The game is VERY challenging, but you have unlimited continues unless you set it otherwise. To unlock concept art and character art, you have to beat the games with a limited number of continues, which is incredibly difficult.
Let's just say that if I had to pop a quarter each time I continued, I would be in major debt right now.
I hope this answers all your questions.
Pick this game up. It's only 40 bucks.