Funfact: There WAS one localized release of Parodius Da! called "Parodius: Non Sense Fantasy" in europe. Since it's a shmup there's not too much to change into english, but they DID translate the gibberish you shout from your megaphone powerup into gems such as "GOT A STINKFOOT" and "SHAVING IS BORING!"
But yeah, I friggin love parodius as a whole. My favorite is probably a tie between Gokyjou and Sexy, though I love both for different reasons. The SNES version of Gokyjou with it's cameo characters from kid dracula and goemon adds tons more to it, but it IS a snes shmup so expect bucketloads of slowdown. The PS1 version adds the "ACCIDENT" mode where you fly through bizarre 3D sections shooting at enemies that pass weird and enter parodius levels of freaky. I can't say which I like more. As for sexy, either the PSP rerelease or the PS1 version will do ya fine. EDIT: Jikkyou Oshaberi's PS1 port has ACCIDENT mode, NOT Gokyjou. Derp.
If you like parodius, you should also try "Harmful Park". It's like parodius but focused more on an amusement park theme. Watch out though, it's super rare and super pricey.