Man, the MSX version is THE version to play. I think Sierra couldn't make a proper conversion of Thexder to any system.
I like what Square did with Thexder on NES, but it's still far away from the MSX version.
I always felt the Amiga version was slower, it didn't had the excellent sound from the MSX version, and the MSX version has slightly better graphics.
And if you like Thexder, you REALLY should try the sequel, "Fire Hawk: Thexder Second Contact" , which is just FANTASTIC.
I dunno if it was released on Amiga though. I know it was released on PC, and it was a bit cack compared to the MSX version.
BTW, I just fired up Thexder on FMSX-DOS to take those screenshots, and I noticed the game runs slower than in a real msx .
Edit: PSP screwed my last screenshot, so I am uploading it again