I agree with C.T.H. completely. I got my Neo Cd first, and it made me hate games like KOF, and Last Blade. But shooters and sports games are great on the CD system. It used to make me angry though that you cant get shock troopers, MSX, 3, or 4, Blazing Star, and many other NEO essentials for the CD system.
Trust me though, you wil spend twice as much time in the loading process of KoF games,than the playing process, which is EXTREMELY frustrating.
I will say this though, Neo is as much a collecting hobby as a playing hobby. It's frustratng to not be able to have everything you want right away, but it's worth the wait. You have to work within your budget. And trust me, it's not fun to get a bunch of Neo games at once because you wont enjoy them as much.
I have been neo collecting for over 5 years now, and I have all the systems (AES, MVS, CD, and Pocket) and a pretty good collection of games.. but I still have a long way to go. That's what makes it s fun though.
Just be patient, and have fun. You wont build world class collection in just a year or two.