While I've played them before, I never actually got to sit down and really get into the Shinobi games on Genesis (*ducks*), but I have remedied that!
Revenge of Shinobi - The toughest of the bunch (IMO) and feels a bit more old school where you need to rely on a lot of memorization and have a sequence of movements planned out in each stage. Perhaps there was a bit too much of a "trial and error -> memorize level -> execute movements" loop for my tastes but that's a bit nitpicky. It is indeed a great game and the difficulty was satisfying instead of overly frustrating, if that makes sense.
Shinobi III - I'm not sure there's much more I can say that hasn't been said before, but when you can play a game that's almost 30 years old and still come away impressed I think it speaks for the quality of the game. A top 10 if not top 5 Genesis game.
Shadow Dancer - I know it's not a port of the arcade game of the same name, but this definitely feels arcade influenced. I actually didn't like this game as much as the others and probably wouldn't replay this. Your attacks and movements are limited, there's not much platforming, and the 1 hit deaths led to what felt like a lot of cheap deaths.
I had only really played the PS2 Shinobi game growing up. A couple years ago I also played through all three of these games, and felt pretty similarly about them. RoS I found pretty borderline in terms of being overly frustrating, though. Some of the jumps (Chinatown) and things were pretty infuriating. It is a good game, once performing the double jump starts to feel more comfortable. Do you know what revision you played?
I was floored by Shinobi III. I've had the game for a while, and played the first few levels a few times, but once I played it for real, I got to see the tremendous heights it soared to (somewhat literally). It's probably in my top 5 on the Genesis, also, but it's tough when there are so many excellent games on the console. Definitely one of the best games of that era. Everything that was remotely an issue in RoS was fixed in Shinobi III, I feel.
I definitely didn't like Shadow Dancer as much as the other two (although it and RoS might be fairly close). I did think it was kind of enjoyable, most times, though. I nearly gave up on the final boss a few times, just because of how perfect it basically requires the player to be. That final boss ate up most of my playtime.
If you haven't played Shinobi X/Shinobi Legions/Shin Shinobiden on the Saturn, don't. It's a pretty big drop in quality from Shinobi III, even though the moveset is expanded slightly. I stopped at Chinatown in Shin Shinobiden, because the levels are a lot more like RoS. Also, I don't really understand how it's possible to beat the boss of that stage. I think there's actually a level select code in the game, but I pretty much refuse to use things like that.
I also revisited PS2 Shinobi after that, because I had never actually beaten it. If you're looking for controller throwing frustration in the final few stages, then you might want to play it. If not, I would skip it. 18 years ago, I really liked the dashing and slashing mechanics, but they're barely functional for the latter half of the game.