It seriously depends on where you die.
As I mentioned earlier, Gradius II has a few points that are impossible to recover from.
Same with Gradius I / Nemesis. You can hit a wall as early as stage 2.
Even Gradius III SNES with its ridiculous slowdown has a couple checkpoints from hell.
I'm not 100% sure on Gradius IV, but I think it might be a bit more lenient than the other games.
With Gradius Gaiden, you can recover from practically anywhere. Unsurprisingly, it's also the best game in the series next to Gradius V.
Gradius II arcade has several cruel checkpoints if you happen to die. The NES version though is much more lenient and if you're good then dying isn't that big of a deal.
Gradius III Arcade is easily the cheapest, most unfair and frustrating game of the entire series. The plant stage in particular is near impossible to beat if you die mid-stage. Actually killing the giant plant boss is impossible, you just have to wait for him to time out and self-destruct, if you don't have at least two speed-ups then you're going to get sucked into him and die. There's several other checkpoints that might as well be game overs if you die mid-stage, the game is totally unfair, even on the easiest difficulty setting. Luckily for Gradius III in the PS2 Gradius III & IV collection you can use the konami code to get fully powered up.
Gradius III SNES is one of the easier games in the series. Konami changed a ton of things in the SNES version to make it much more forgivable (and playable) than the ultra cheap and unfair arcade version. For one thing, the fireballs in the fire stage are now fully destructible. The spider dancers on the final stage are killable, there's a bunch of other changes (i haven't played it in a long time) that just make the game much less cheap and unfair, and this is coming from someone who loves challenging shmups.
Gradius IV isn't too bad if you die mid-stage, i mean yes it can be challenging to live long enough to get enough powerups for your ship to be formidable but the bosses are pretty easy and it's certainly doable. The boss rush sucks though.
Gradius V's instant re-spawn/recapture floating options makes dying not that bad, it uses the same system as Lifeforce NES.
Lifeforce NES and Gradius Gaiden are the two easiest games in the series. In Gradius Gaiden you can customize your powerup bar in any order, so you can have the shield powerup first or even have options first, and the Jade Knight is OP. The game is also my favorite game in the series just because the music, stages, graphics, ships and bosses are all freakin' awesome and fun.
I wish Konami did a widescreen HD remaster of Gradius III SNES, it's a great game but the field of view is a bit too tight and the slowdown is ridiculous, but this mod is wonderful in reducing the insane slowdown of the SNES version since the SNES had a weak cpu.