Getting into the Neo-Geo is a daunting and expensive endeavor if you are unsure of where to begin. That's where this guide comes in. Inside, I give you some general thoughts on the three hardware options, as well as humorous anecdotes on what hardware option would befit each type of collector.
Buying Neo games is almost as daunting as choosing a Neo console. I help take the pain out of the process and give you all the options you have as a Neo enthusiast. There are also tips on how to buy on Ebay and how to not get duped by bootleggers.
A relic of gaming past, this community of passionate gamers have kept the Neo legacy alive for over 20 years. While much of the information contained within is useful, there is a lot that is out of date (including the price guides). This is one of the best forums to find Neo games for sale, but be warned - don't sign up to the forums just to access to the market. Consider yourself warned. 
This Neo site is based in Europe, and as such English is clearly the second language. That said, there are a lot of resources including one of the more up to date price guides for the AES, MVS, and CD platforms. There are also some reviews and articles, which are generally readable given the language barrier.
If you went the MVS route rather than the AES route, make sure to get some Shockboxes for your games to keep them safe, organized, and looking posh on your shelf! Originally created by long-time community member BigBear, Southtown Homebrew is your one stop shop for your MVS collection.
Italian arcade game site ran by a dedicated team of arcade and Neo-Geo fans. An excellent resource (just use Google Translate for English) with much of the Neo-Geo information compiled by longtime community member Gemant. 
This incredible resource houses invaluable information on Neo-Geo AES board types, power supply considerations, and much more
The #1 trusted source for MVS PCB board and rom chip scans. If you're worried about the authenticity of your newly purchased MVS game, make this your first stop. You can compare your boards to these authenticated board scans to ensure authenticity.
Like MVS Scans, Arcade Collector has a large selection of AES PCB board and rom chip scans to help you determine the authenticity of your AES game. AES game cases can be easily broken if not opened properly, so proceed at your own risk.
The sister site to - The Neo Store is a great resource to find rare games, and the prices are not outrageous. You can also purchase Neo Pocket games and hardware, as well as other rare retro game wares. Usually ships same or next day after purchase.
My preferred Japanese retail proxy. From Japan has reasonable fees, excellent customer service, fast shipping, and allows you to purchase from hundreds of online storefronts. Japanese games are typically much, much cheaper than their US counterparts and don't require a degree in Japanese to understand.
The Japanese Suruga-Ya site is where the deals are. This site pulls inventory from the various Suru locations from around Japan. If you live outisde of Japan you can't order direct, but you can use a proxy like From Japan o make the purchase for you - for a nominal fee. I order most of my games here.
The English Suruga-Ya site lets people from all over the world purchase goods from Suru's Japanese warehouse. They are a long-time retro and hobby second-hand shop in Japan and their stores are a staple visit for retro gamers who take a pilgrimage to Japan. If you don't want to use a proxy service, try here.
Based in Japan, you can order direct from the Emporium without using a proxy service. They offer great deals on Neo AES system bundles and often have competitive pricing on AES games. This link takes you to their Neo page, but they offer many more retro and modern games.
Your #1 source for reproduction games, softbox and snaplock cases, inserts, manuals, and stickers. Great customer service and professional. Their reproductions are very high quality, so if you're thinking of getting any repro games, look here first.