Don't listen to 17days, he has no idea what he's talking about. Those compilations on the Playstation are not 100% accurate. The most glaring difference is that the music and sound are off.
There is nothing like owning the actual hardware and getting the real ARCADE experience. MVS is the best route to go, the games are relatively cheap and easy to find. For example, I paid $20 each for Metal Slug 1, 2 and X. I own about 30 cartridges spanning all types of genres, like Baseball Stars 2, Neo Turf Masters, King of Figthers, Burning Fight, etc. That's one of the main reasons why I love the Neo, the library is extremely versatile yet deep. The compilation packs are missing some of my favourite games
Anyways, here's a picture of my big red 4 slot. I paid $350 for it with 4 games back in 2005. It was my dream to own one, and it was definitely worth all the difficulty of moving it down into my basement!
http://i5.photobucket.com/albums/y16...1234235392.jpg