Shovel Knight is by far my favorite game. It does an exceptional job at feeling like a retro NES-style with the art style and music, while also removing some of the jankiness created by old hardware limitations. All of the boss fights feel unique, the levels are well-designed, and the game provides a satisfying level of difficulty.
The only major criticism I can give is that Plague of Shadows' level design is very similar to Shovel of Hope. This is most likely because they're supposed to happen at the same point in time, and Plague of Shadows was the first alternate game made.
That being said, the other campaigns do a good job at creating interesting level design based on each of the different knights' movement and abilities.
Specter of Torment and King of Cards probably have the best character movement and level design based on their movement. Shovel of Hope is a little more lacking in movement, but it's also the original game, so I treat it more as the baseline. Plague of Shadows also has interesting movement, but it can get a bit funky or unwieldy at times.

New Game+ also gives a pretty unique challenge in the prequel games, such as your health and mana being combined into one bar that slowly drains. (Shovel of Hope and Plague of Shadows both just have a standard difficulty ramp like no heals, 2x damage taken, less checkpoints.)

Great gameplay and story in all 4 campaigns, plus Shovel Knight Showdown as a bonus.
It's seriously worth playing all games in the franchise all the way through, and if you've beaten them: get all of the achievements.

(Additionally, got Treasure Trove as a free upgrade to original Shovel Knight, so paid for 1 game (got a used copy for around $10 before Treasure Trove's release.) and got 5 games in return.)
10/10