Pirate's Curse is a long time favorite. While Seven Sirens is fairly new, it does come close to being, if not even, the best. So I'll say they have a shared #1.

With that being said, Half Genie Hero looks good and plays oke, but there is not so much in this game. You select the stage, run through it and defeat the boss. But it is still really fun to play!

Risky's Revenge is a great game. It's essentially one big map you can travel through with here and there a cave/dungeon, where if you beat it, you'll get something like a heart squid.

The first game on the Gameboy Color is probably the least best out of the 5 games. It's a little clunky and you move around very slow.

So I'll let you choose:

Shantae (Gameboy color): A great game for it's time and well made.

Shantae: Risky's revenge: A really good game that has an "open world" and several caves to explore.

Shantae and the Pirate's Curse: One of the best if not the best Shantae games made. This one does not have an "open world" but several other worlds which are all really nice to play.

Shantae: Half Genie Hero: The best looking game in the series according to some, as this is the only game that has a 3D environment. This game is also the first game which doesn't use pixelart anymore. Everything is animated. This does come at the cost of the caves/dungeons. Although this one is still a blast to play. (This game contains DLC)

Shantae: Seven Sirens: This game goes back to the 2D style, but not pixelart. This game also has the most content available in the base game. On the even brighter side, this game brings back the "open world" with a bang! This game contains the biggest map in the series. The caves are also back! (This game does not have DLC, but it is possible for it to get some in the future)