I just played through this entire game in one sitting a couple of nights ago. I love it myself. It was one of the first games I purchased for my TG-16. After awhile I finally rented Bloody Wolf, but that kind of seemed like a poor-man's Last Alert to me, especially in the graphics (grafx?) department. Also I don't recall very well, but I think Bloody Wolf didn't allow you to hold your firing position as you move like Last Alert does. I REALLY like that feature in Last Alert. I only made it to the 2nd stage I think in BW, but I recall the music being, well, not so hot. But I hear it gets better later in the game. Keep in mind that was a looooooong time ago.
By the way, the manual for Last Alert says to keep watching after the end credits for a big secret! Nothing happens except a picture of Guy Kazama and a bit of quick music. "You can never trust, Leonard!"
"Guy! The stealth bomber's hidden in the back of this factory!" (Complete with Kermit the Frog voice).