Fatal Fury I really didn't like much, nor the Samurai Shodown! games. King of Fighters R-2 seems good enough, but I haven't really devoted very much attention to it. King of Fighters R-1 seems a little fresher in my opinion. It's Match of the Millenium, Gals Fighters and--in my opinion--especially Last Blade that really stand out, though. Those all easily compete with the best fighters released on any system.
The Metal Slug games are okay, but don't expect them to play really anything like the MVS counterparts.
Other games that deserve mention are Neo Geo Cup '98, which is a soccer/football game with some light sim aspects. The gameplay is really loose and somehow that fits it perfectly. I find it very addicting. Cotton, mostly because it's the only shooter on the system, it's plenty of fun, but I think we could have seen better. Puzzle Link is a great puzzler.
and, of course, the true must have game on the system is Ganbare Neo Poke-kun. You'll laugh, you'll cry, you'll experience what it truly is to be human. An experience not to be missed by any man, woman or child who would call him or herself a person of the 21st century.