Although a little pricy at times (but just by a slight margin), Game Express in NYC has a great selection of Neo Geo Pocket games, perhpherals and systems. There are a few other stores within a 10 block radius that have titles and some systems as well (one on 7th Avenue and 40th? and another just a few buldings down from Game Express itself), but not as large as the one at Game Express.
I'm not sure if they do anymore online ordering or anything... since my office is only a few blocks away from them, I can easily just stop by and see what they have to offer. That's certainly not good for the paycheck, THAT'S for sure... hehehehehehe.