i think i should mention something about the MVS route.
its initally a bit more expensive then the AES route but in the long haul its alot less expensive since as we already mentioned AES games are expensive.
depending on how much money you want to put into it a consolized MVS can be made to look like a home system with the right shell. i've even seen a guy put the MVS board in a neo CD unit shell. its alsot better looking and compact then haveing a boxy supergun with wires comeing out and connecting with a MVS board.
BUT
if your into the Neo-Geo you may also be into arcade games in general and if you are you can get alot more use out of a good supergun which can play other arcade formats (diffrent SG's have varying compatibility). i was in you boat a year ago. intially got a modded AES. i still don't regret it and buy AES games when i can afford it but i did end up buying a decent supergun and a MVS board. the setups kinda ugly but i have alot more options with it.