first thing that jumped out at me was the fact that Guilty Gear XX Accent Core was missing.
It might not be available in the UK however, so I'm not sure.
It was released in the UK.
King of Fighters 2002 & 2003 were a dual-disc release for the US, don't know about the UK.
Europe had individual releases for KoF 2k2 and 2k3.
If you really want to have a complete collection you might want to add Guilty Gear X Plus to your list. Which was a Japan only release for PS2. It's basically the same as Guilty Gear X, they just tweaked the game a bit more as for balancing and timing issues. Nothing groundbreaking.
Street Fighter III: Third Strike was also released on Xbox in Europe as part of the Anniversary Collection. The European PS2 version lacks the SFIII port. I think the only way to get it on PS2 is the US Anniversary Collection or the stand alone release which was Japan exclusive as far as I know.
As for KoF, there's KoF '94 ReBout and to be released this week (in Japan) KoF 98 Ultimate Match, it's a buffed up version of the original KoF 98 but has new characters, game systems and game modes. KoF 98 UM has a whopping 64 characters, 10 of which are new to the Ultimate Match version.
There's also King of Fighters Maximum Impact Regulation A for PS2 (Japan only for now). It's basically a remake of Maximum Impact II but with the classic 3 on 3 game play from the 2D KOF series as well as 3 new characters.
KoF XII is also sheduled for release this year but knowing SNK I wouldn't hold my breath for that

If you have a modded PS2 that can play imports you might want to pay a little visit to play-asia.com. They are cheap and fast.
Other SNK games would be Samurai Shodown V (I love the game but the PS2 and Xbox versions are a joke. Horrible, horrible ports). Next month Samurai Spirits Rokuban Shoubu will be released for PS2 and Wii in Japan. That's the Samurai Shodown Anthology which has been promised to be released by the end of the year in the US and Europe. It features Samsho 1 - 6. If you bother for a individual release or don't want to wait that long you could get Samurai Spirits: Tenkaichi Kenkakuten (Samsho 6) for PS2. Again Japan only as far as I know. Samsho 6 is like a KoF Dreammatch only that it has ALL Samsho characters (arcade as well as formerly PS2 exclusive characters plus 4 brand new characters).
Garou: Mark of the Wolves and Last Blade 1 and 2 were also released for PS2 in Japan, but as far as I heard the emulation is mediocre.
For Capcom games you listed Marvel Vs Capcom 2. There's a bunch of Vs. games on PS1, most of them pretty rare in Europe though and to make things worse much better on Saturn due to the RAM cart. But If you still want to get them there's Marvel Vs. Capcom (PS1 version is pretty weak compared to the Dreamcast version though), X-men Children Of The Atom, Marvel Super Heroes, Marvel Super Heroes Vs. Street Fighter, X-men Vs. Street Fighter.
Other than that you're pretty much complete if you want to stick to these series. There's some other notable fighting games though if you like to try something "new".There's Hokuto No Ken (Fist of the North Star) which looks and plays a lot like Guilty Gear. Arcana Heart (2D fighting game with an all female cast

) or JoJo's Bizarre Adventure (you can get it on PS1 or DC, I'D recommend DC)
looks like your on a direct path to becoming KaiserWAVE's best friend.
He's on a good way

It's always good to find someone you might have the chance to fight against online or even in person. Most of my friends don't care for fighting games apart from the big names like Soul Calibur, Virtua Fighter and Tekken.