Mostly it's better performance (And they're actually ports from the original source code, unlike these Anthology versions).
Some things I recall reading though besides that for the standalone Metal Slug releases on last generation consoles are that Metal Slug 3 on the Xbox sends you back to the beginning of a stage when you continue (Making the game basically impossible for most people) and has extra content.
The subject of your question, Metal Slug 4/5 on the PS2, doesn't have any additional modes. Only additions I've ever seen mentioned are that it has a achievement/trophy system and level select options. And it returns to a more conventional continue system.
Considering picking these up myself one of these days. Thanks to this thread, I'm really getting into this series for the first time and becoming much more fond of it.