Sexy Parodius is a bit sketchy, yes. But, it's easily the most-fun shmup I've ever played. The music is fantastic, too. I've managed to 1cc the game, but I've never beaten the bonus stage which is just so ridiculously difficult, I question whether it's even possible without a very specific strategy or something.
Unfortunately, the best version is the arcade one, and MAME doesn't do the best job with it. Still playable, though.