Space Harrier II looks much better than SH 1 on the Engine, but as Joe said it's a toss up when in motion - Space Harrier PCE seems to run far smoother than the Mega Drive counterpart. I really dislike the striped floor on the PCE though. If the other versions could have done it right with colour cycling, then why not the PCE?
On a side note, I really like the music to SH2, it encompasses the feel of Space Harrier while having an originality of its own. The main thing that lets SH2 down is the farty-weak sound effects and the inability to really rapid-fire your gun, something a lot of SH clones get wrong.
I also have a soft spot for the SMS version, it sends waves of nostalgia over me and is the version that made me love Space Harrier to begin with.