The Neo CD is a great console, I've always been a big fan
There are also a fair few fighting games where the load times are neither horrendous, nor affect the gameplay - Breakers, Kabuki Klash, the Samurai Spirits series, all the Fatal Fury games, including the Real Bouts, King of the Monsters 2, Art of Fighting 1 & 2, Voltage Fighter Gowcaizer, Double Dragon...
The World Heroes games may be worth mentioning... I can't stand them, irrespective of format, but they have their fans.
Ninja Masters isn't bad for loading, but it's not great either.
Last Blade 1 & 2 and King of Fighters '95 - '98 are all playable, but they're kinda ruined by loading times. You really need to look elsewhere to enjoy these.
KoF '99 is practially crippled by the system imo.