You can use a Gamecube controller in Anthology. Anthology is kinda nice also because it includes MS6, which isn't available anywhere else (besides obscure arcades).

The "lawnchair" joke is more prominent in the later Metal Slugs.

The advantage to the Virtual Console version is you can use the Classic Controller, but if you like that sort of set-up I would recommend the PS2 version of Anthology (I learned to play MS with a Playstation controller and got that one).

@alvieao: MVS difficulty doesn't do anything relating continues. You got as many continues as you put in coins and as many lives as the machine operator set per continue. The difficulty settings ran 1-8, but that mostly just effects the boss' HP and attack patterns. Home console versions just had 3 sets of difficulty, which would select an equal difficulty setting in relation to the arcade ones (i.e. Normal = 4, Hard = 8) and give you a set number of continues (you'd get 4 on Normal). The arcade version has more flexibility, but they're pretty much the same.