I haven't played a lot of the SFC/SNES shooters since I really wasn't into the genre when the system was current, but my favorite is Aero Fighters/Sonic Wings. I also have a soft spot in my heart for Super R-Type, crippling slowdown and all. Honestly, I think it's the music, it is fantastic.
I played Gradius 3 SNES for the first time ever today, and I kinda wish it wasn't released on this platform, or released later when programmers were better. It's a fantastic game, to be sure, but the slowdown is just constant if you are fully powered up. I wish it had been a Super/Arcade CD instead.