Robo Aleste is my personal favorite. Silpheed is a close second, but can be hard and looks a little rough at times... still fun as hell though.
BTW, the first version of Lords of Thunder I played is the Sega CD version back in '96 I bought used. I was blown the hell away with it to be honest. The music in that version to me sounds better for two legitimate reasons actually.
1) Yes, it is the first version of the soundtrack I listened to and I liked it then and still like it now.
2) It has a less overproduced sound with a more soulful feel to it. It just has a more raw and rough feel, which is how real metal music should sound. It sounded like a real band playing it instead of it actually being recorded for a video game or anime. Old school Metallica vs. new Dream Theater is the way I view it. It just has a more natural sound and more balls!!! I love the Duo version of the game overall better, don't get me wrong. I just really prefer the Sega CD version's music. I have listened to a lot of Metal music like Black Sabbath, AC/DC, Metallica (up to black album) Tool, Deftones (up to White Poney), Kyuss and Pantera. I could never get into bands like Dragon Force, Dream Theater and that other clean overproduced recorded stuff. It has to make you want to break shit, or it isn't working. Not that I do that, lol.