Garou on Vol 3 is the single best fighter on the Neo, IMO. However, you may consider the Volume that has Last Blade, AOF3 and Savage Reign, which is quite a combo of unconventional fighters.
Agreed with everything said here. I also have to put my hat in with Garou, I didn't expect to enjoy it as much as I did, then I got my hands on it. Definitely among the best fighters ever made to this day. The Last Blade, and Art of Fighting 3 are unconventional, GORGEOUS, and among my favorite NeoGeo games, so I gotta stand by them, too!
Savage Reign, I can't say anything for, as I've never played it! I've been reading up on it a lot recently, it looks interesting! But while I'm throwing up recommendations, Samurai Shodown 3 is another one of my favourites that I can never recommend enough, if only for the beautiful visuals alone! KoF '96 is awesome, if you enjoyed the '95 pack-in, you'll enjoy the hell out of '96.
You might want to step away from the fighters though, you can't really appreciate them if you are playing too many at once, which I have been very guilty of. Now that I look over the list, there isn't a whole lot of variety of non-fighters, but I've always wanted to get Shock Troopers.
So very agreed, and SO VERY guilty. Fighters were pretty much ALL I played when I first got into NeoGeo. It wasn't until I started playing other kinds of games on the NeoGeo did I REALLY start to appreciate the system, and go completely ballistic collecting! That said, I also stand tall beside Shock Troopers, TONS of greatness to be had, there. And like my KoF reccomendation, Liked the pack in Metal Slug? Then you need Metal Slug 2. I can never sing enough praises for the Super Sidekicks games. I took a look at them, and almost dismissed them. Then I gave SSK 3: The Next Glory a go, and that was it, I was addicted. Lastly, Blazing Star. That game will own your life. It only takes a minute, and it has you.
That said, if I had to recommend 2 volumes for you to get to begin your wonderful journey, I'd pick up Volume 2(Samurai Shodown 3, Savage Reign, and Super Sidekicks 3) and Volume 4 (Garou, Shock Troopers, and World Heroes 2 Jet). And then get the rest, because you know you will