i've loved my Neo CD ever since I got it and have a pretty good Library of games, at least in my opinion and the load times don't really bother me. Here's what I got.
Puzzle Bobble-after initial load, no more loading
Viewpoint- after initial load, no more loading
Crossed Swords-after initial load, no more loading
The Super Spy-after intial load, no more loading
Super SidekicksII-after initial loads, there are 2 more before the game starts but they are pretty minimul loads compared to other games, i'd say no more than 20 second wait.
KOF 94,95,96,97-i only play KOF 97, after initial load, if you play singles with demo cut on, then the loads aren't bad at all, very managable and a very fun game, i love it.
Samurai Showdown II- after initial load, you have your normal load between MATCHES, not rounds, and the loads are pretty quick, I HIGHLY RECOMMEND THIS GAME
Real Bout Fatal Fury Special-after initial load, the loads between matches are pretty long. This is the longest loading game I own, still not too bad, but gets annoying after a while, but it's worth to finish the game to see Blue Mary's Blues video.
Overall, my experience with load times is pretty minimal, they don't really bother me, other than long exposure to RBFFS, or team play KOF, but still as far as the system goes, I enjoy it.