SGX GnG isn't that hard, its just a port of the japanese version of the arcade, where the continue spots are few and far inbetween.
Thats why the Genesis GnG seems so easy, but the MD GnG is probably the same as SGX GnG.
Once you get the gameplay down, its easy to fly straight through again and again. The bitch, is getting the Cross the 2nd time through, since you can only find it wearing gold armor.
Unless you get the Cross in the first section of the first level, kill yourself. Otherwise, it way faster to just reset, play to the end and try again on the second quest level one.
If you need to develop your skills, you should play the original japanese game on MAME, since you get unlimited continues. But just the same, if you miss the Cross right away, just reset cause its pretty much a waste of time.
The game is easier for me than Ghosts N Goblins. But with both, you either master the gameplay and breeze through or hit a wall.
Thats what good games are, difficulty surpassed by increased skill instead of a bunch of cheap hits(which GnG also has
).