The definitive editions of the Earthworm Jim games are as follows:
Earthworm Jim: Special Edition - Sega CD
Earthworm Jim 2 - Saturn
EWJ:SE on Sega CD has some exclusive levels, not to meniton the privelege of being the most technically superior console version of the game. Highest quality sound, more animation, all that nifty stuff. Whee.
The same pretty much goes for the Saturn version of EWJ2, except that doesn't have any exclusive content. So more vibrant colors, better sound, and possibly a higher resolution.
But if you're just trying to choose between SNES and GEN, just go with whatever's cheapest. Or whatever controller you like more.