World Heroes perfect is my favorite out of the series but in truth I like all of them for their different reasons. 2Jet clashing system was so awesome, it really made the game pop.
Fatal Fury Special
Samurai Shodown II
KOF '95
It's hard to pick one KOF when every KOF on the Neo is excellent, even the weakest link is still a great fighting game. I'm almost tempted to change my choice to KOF '98 solely 'cause it packs more content and it's just as good as '95 the first 4 are flawless. I love the rest, in some ways even more than the previous 4, for example 99 and 2000 with Robert as a charger was awesome. Each KOF has something to offer, I couldn't part with any of them.
...but then I could say the same about Real Bout Special, or Samsho V Special, I know it's not a favorite but the system was excellent, the button layout superb, the roster was insane (Lots of clones though) it just has a lot of good in it that it overcomes the mishaps like some of the stages for instance.
The list goes on and on...there's just way too many good fighters on the Neo. I like most of them 'cause fighting games is my favorite genre, I like to explore and play different systems and try to learn what I can along the way. My dislike list would be very short but you can bet Fight Fever and Ragnagard will be there. Ragnagard in the aesthethic sense more than anything else, the game is very much playable but I just can't get into it.
Edit: Fight Fever is just awful, that's one game I'm happy not to have ever owned, I almost got it way back from XX but thankfully I came to my senses early on...good times...