you can play any 'JAMMA' type game. look on <a href="http://www.klov.com" target="_blank">www.klov.com</a> and look at what games say 'conversion type JAMMA', or look on EBAY and search 'JAMMA'.
For the CPS-2 games (SFA,SFA2,ect..) you'll need a kick harness to add the extra buttons. It's not hard at all.
Switching games is easier than on an old nintendo. you pull the fat connector with all the wires off your neo, and then slide a new board into it. There's only one connector and that'll work without having to do anything else for most games.
Some systems require different pins for sound or have slightly non-jamma pin-outs. Just post what game you're trying to get to work in the Tech section here and we'll do all we can.
I hope this answers your questions. PM me if you have any more.