I can think of a lot where I personally prefer an earlier title, though I can't say they're objectively superior. I prefer Zelda II over all of the later Zeldas. I think Super Metroid was the best of its kind. Final Fantasy III (VI) was my favorite. I agree about Contra being superior to all of its sequels.
Narrowing to first games in a series being the best:
Kid Icarus
Contra
Chrono Trigger
Ghosts 'n Goblins
Rastan
Double Dragon
Baseball Stars
Crazy Taxi
Power Stone
I think I'll stop there. This is the kind of thing that could go on for awhile the more I think about it.