I have not played the other Hydlide games, but to be honest I have been curious about them. I think I've seen some screen shots of Virtual Hydlide, and I only shutter to think what playing it would be like. The most terrifying thought is that there are something like 5 Hydlide games in all. Why anyone thought it deserved even one sequel of any kind is beyond me. As EmP said, it's a mystery.
EDIT:
I've played the MSX versions of the second and third games. They are awful, but not nearly as bad as the original.
The only thing my milkshake brings to the yard is a subpoena.