I have a CDZ as well, and have built up quite a nice collection of Neo CD games, and these are the ones that I find have the best value for money ratio:
2D fighters:
- Samurai Spirits II (excellent fighter, and REALLY cheap)
- The King of Fighters '94 (same as the above)
- Art of Fighting 3 --> there's a nice collector's box version of this that you might want to look into if you're interested
Sports games:
- Baseball Stars 2
- Windjammers / Flying Power Disc --> do yourself a favor and get this game (!!!). It's great fun, especially playing with a friend
Other:
- Puzzle Bobble --> the graphics don't necessarily flatter the Neo Geo's capabilities, but it's still great fun, especially against a friend
Some more expensive titles, but definitely worth the money (IMO):
- Metal Slug 1 or 2 (need I say more)
- Neo Turf Masters / Big Tournament Golf --> while it is one of the most expensive NGCD titles, it's also one of the best. Great, GREAT fun to be had here, single player or with a friend
- Twinkle Star Sprites --> Truly mix of the SHMUP and puzzle genre. One of my favorite games for the Neo
- Sengoku 2 --> IMO the best beat 'em up brawler for the NGCD
I know a site that has some good Neo geo review that you might want to check out:
http://www.neogeokult.com
It's originally a French website but they now have translated all of their reviews to English
Edit: By the way, you will find that the Neo Geo CDZ has great video output. In fact, it is the best video output I have personally ever encountered on a retro console. I even looked as crisp as can be on a 40-inch LED HD TV, without the need for an upscaler of some sort. And that's saying a lot, given the year this console was built in.
Happy gaming.
Turbogfx