Battle of Olympus
Blatant Zelda II clone, but a pretty good one.
I definitely second this one. Fantastic action-RPG that centers around Ancient Greek mythology. And it is different than Zelda II. There's no overmap. Everything interconnects. And instead of travelling from one side of the map to the other, you are constantly going back and forth as you unlock new abilities, much like Metroid. But damn does it get hard towards the end. I never have beaten the final palace.
Some other recommendation:
-Batman: The Video Game - Loosely based on the 1989 movie, this is an action-platforming gem with some great challenge and some of the best NES music out there.
-Bucky 'O Hare - This is pretty much Konami's attempt at Mega Man, and they do a damn good job at it. You start off as Bucky 'O Hare, and you have 4 planets (stage) to choose from. Action-platforming, then boss-battle at the end of the stage. With each stage, you unlock a new character that has new abilities you need to move on. But this game ramps up in difficulty, A LOT!
-Crystalis - A Zelda-like game, that does it better than the original Zelda. Better plot, better graphics, better music, more RPG-elements, more towns and NPCs, etc. Done by none other than SNK, believe it or not. I feel this is the one game most deserving of a sequel than never received one.
-Dragon Spirit: The New Legend - Great vertical-shoot em up where you control a dragon in a fantasy setting, with an anime flair to the storyline. What's really cool is your dragon is decided by how well you do in the first level. Power-ups, boss battles, flying enemies, you know the routine.
-Frankenstein: The Monster Returns - A Castlevania clone with cool boss-battles, that focuses more on the plot than most Castlevania games. But instead of taking down Dracula, you're taking down Frankenstein's monster who is ravaging the countryside.
-Legendary Wings - You always hear about Gradius, Gun-Nac, and LifeForce; but never about this shoot-em up. Great shoot-em up that's set apart by the fantasy-setting. You control Hawkman (pretty much, lol) in a vertical shoot-em up and shoot hordes of enemies, collect power-ups, and fight boss-battles; you can also unlock bonus levels. By Capcom.
-Monster In My Pocket - Nothing here that is innovative, it's your average action-platformer. What sets it apart, is the amount of shine Konami gives it. Fantastic looking graphics for NES, great music, and spot-on controls make this a joy to play, especially if you have a buddy and play co-op two-player.
-The Punisher - This is a great little light-gun game, only problem is that it doesn't use the light-gun. You're forced to use your controller. If you can get past this, there's a lot to like here. It's Virtua Cop, before Virtua Cop. Lots of hidden stuff to find, destructible items in the environment, and great shooting action.