My personal Top 3 would be KOF R-2, Card Figthers' Clash (SNK version, of course!), and Magical Drop Pocket.
I'm sure a lot of people would say Match of the Millennium in place of KOF R-2, but I never got around to buying MotM.
Samurai Shodown 2 is also a good choice, but I personally prefer KOF R-2. Metal Slug: 1st Mission is also pretty good, but doesn't really play much its big-brother Metal Slug games.