I haven't got a chance to play Blazing Star yet (which sounds like and looks to be the best shooter for the system), but if you're asking for a good shooter in general on the Neo Geo, my vote would have to go to Twinkle Star Sprites. Out of the shooters I own for the Neo Geo (Last Resort, Pulstar, Aero Fighters 2, and TSS), I think TSS is the most fun, and it's got lotsa' replay. Sure, it's dripping with cuteness, but the graphics are big, explosive, colorful, and very well done with plenty of animation. It'll present a low to a high level of challenge (mainly depending on the character you play), plus it makes a good competitive game to play against a friend. It will take a little getting used to because of the puzzle game elements, but once you figure out what to do, it just keeps getting more and more fun.
Thanks,
-Lou-