1) It's best to play regular games with the regular 1MB RAM cart, and only use the 4MB cart with the 4MB games. There weren't that many 4MB games, and they were mostly Capcom. Vampire Saviour, Pocket Fighter, X-Men Vs. Street Fighter, Marvel Super Heroes vs. Street Fighter, and Dungeons & Dragons Collection are all the titles that I know of. I'm pretty sure that Street Fighter Alpha 3 also used it, but I don't own a copy myself so I can't confirm.
2) None of the SNK games used the 4MB cart: they all used the 1MB cart, with the exception of KOF95, which had it's own dedicated ROM cart (as Syxx and SamShoSensei already pointed out). Thanks to this dedicated cart, KOF95 had very fast loading times, and was a pretty faithful port. Someone mentioned having graphical problems when playing the 1MB games with the 4MB cart: Samurai Showdown 4 also had these problems.
3) Constant switching of carts (between 1MB, 4MB, the KOF95 cart, and the memory cart) wears down the contacts inside your Saturn, and it eventually stops reading them. In order to prevent this it's best to buy a 4-In-1 Cart (or to buy a separate Saturn for each of your carts). Here's a pretty good FAQ I found that explains about the 4-In-1 in more detail:
http://db.gamefaqs.com/console/saturn/file/saturn_4_in_1.txt