I only have the arcade version, but what I hear from fans of the game is that the MegaDrive port is generally considered better than the SNES one.
I think both versions are fun.
The MegaDrive port has slightly better graphics and a nice sound track, but it misses that "hit" (the strong "tam-tam") on the sound.
Also it's a completelly different game. The SNES version is more like the Arcade. It has some parts missing, like the machine gun part, but has the same stages and bosses from the Arcade version.
It has some censorship with the hookers and bottle of drinks wich if I remember correctly, wich are present on the MegaDrive version.
The MegaDrive version, if memory serves me well, has only 4 bosses and 2 playable characters to choose from (Billy and Cormano), and is also missing other things, like the opening animation and the bosses "voices".
It's a different game, wich you have to save the ladies at the end of the stage when it's not the time to meet the boss. These ladies appear on the bonus round thowing itens for you from a wain.
It also has a versus mode, wich I played very little.
It's not a bad game at all. In fact, I think that version is pretty impressive for a 4mb game compared with the 8mb of the SNES version.
If I had to choose one, I would be very reluctant, because I like both.