I HAVE IT ALL NOW NES WISE! Unless you come across a Canadian DK JR MATH... if so I'm a Buyer!
USA GG set (Including all variants): COMPLETE! Set includes 244 / 257 Sealed/NEW!
Euro GG set (Including all variants): Missing 9 boxes, 9 books, 9 carts.
Japan GG set: COMPLETE! 196/196
Brazil GG set: Have 61/68. Need 5 boxes, 7 books, 3 carts.
GG Pirate Total: 68 different & Counting, Including Car Licence!
GG Prototypes: 4
Ghosts 'n Goblins is another game with unlimited continues on levels, but that game is just way too difficult anyway. At least Ninja Gaiden's not that bad.
All this said, I will agree that it is a huge pain to have to start over the last level when you die only a single time to one of the final bosses.