He's not very far into his quest yet, but Neo Alec has been reviewing every Neo Geo game in order and he notes the differences between AES/MVS/CD games where applicable:
https://www.youtube.com/playlist?list=PL_W1EM66_BruhDsODY4WcYolFMxqQn8ng
As for other differences
-Metal Slug 1 and 2 have an extra training mode and art gallery
-Neo Turf Masters has an extra course
-These games have arranged soundtracks:
-Cyber Lip has the same soundtrack but the volume levels have been corrected
Besides that, the main benefit of a Neo Geo CD is that many games are much, much cheaper than their AES or MVS counterparts. You can buy a Neo Geo CD and a copy of Pulstar for less than an MVS cart of Pulstar.
So for me the Neo Geo CD compliments the MVS very well. I have 23 Neo Geo CD games and 51 MVS games, no duplicates across formats. I almost always get fighting games on the MVS due to the load times. But otherwise I just get the game for whichever format it's cheaper and easier to find on.
These are the Neo Geo CD exclusives:
ADK World
Crossed Swords II
Idol Mahjong Final Romance 2
Ironclad (Brikinger)
Neo Geo CD Special
Samurai Shodown RPG
The King of Fighters '96 Collection
Zintrick
Shockingly, it's possible to own a Neo Geo CD as well as an MVS or AES. I bought the Neo CD first and I wasn't about to try to replace my cheap CD copies of games like Windjammers, Pulstar, Last Resort, Viewpoint, etc.
Of course the NeoSD is a great option now, but it wasn't around when I bought the overwhelming majority of my stuff. If you want to own legit games, MVS and CD is a killer combination.