It's been said a million times here, but I would echo the Duo-R and American TG-16 one-two punch if you want to get into this system without emulating. I had the Turbo when people were fighting over Sega and Nintendo so I have a pretty significant collection from way back when to fall back on. Some of the values have gotten insane, but you can still get some good games and not go broke (especially if you buy Japanese).

Bomberman '93 and '94 are good cheap grabs on the PCE side of things, as our Street Fighter II, Gunhead, and Cybercore. You can also get a Duo Tap and a few controllers to round things out. Avenue Pad Six's aren't too insane right now, and a Japanese arcade card will let you play some of the SNK fighters that got ported. I only just started burning games that I wanted to try out (Space Fantasy Zone anyone?), and haven't run into problems yet. The CD on my U.S. TG-16 stopped working, but I never ran a burned game in it. Pretty sure it just threw that blasted gear. Haven't bothered to open it since I have the Duo-R ;P.

I would recommend not getting a PCE with the CD attachment since they have the same flaws as the US CD systems and you would need to pick up a Super System card to play fan favorites like Rondo of Blood and Lords of Thunder.