What segamer said. If you're getting into AES, you're getting into a world of hurt.
Dirt-cheap common games are 30-50 bucks (+ shipping, and if you're asking why we don't have covers for NG games, I don't think you quite comprehend just how big these things are), cheap games are 75-100 bucks, and expensive games can reach 4 figures.
CMVS (Consolized MVS, turning the arcade board into a "console") is a much cheaper alternative - you'll pay maybe (MAYBE) a hair more upfront depending on what features you want, but the games will as a whole be significantly cheaper. Dirt-cheap commons for MVS are 10-15 bucks, cheap games are 30-50 bucks, and all but the most expensive can be had for 200 or less on average. If you choose to go this way, I would recommend Jamma-Nation-X.com, the owner is an amazing guy who modded both my systems as well as made my supergun. He stands behind his work and works at very reasonable prices for the quality he does. Also good is the Omega CMVS, by a gentleman named shadowkn55 on Neo-Geo.com. I'd personally recommend staying away from Analogue Interactive -- good products, but stupidly expensive -- as well as Neotropolis on ebay (for the same reason). Actually just stay away from ebay altogether.
There ARE converters to play MVS games on an AES system, but they're not cheap (I have the cheapest and it ran me 100 bucks) and they're not flawless. They're mostly pretty damn good, but not flawless. There's also a BIOS mod for both MVS and AES systems called "UniBIOS" that lets you tell the system whether it should identify as a home version or arcade version -- every cartridge based games, even the ones that never "officially" had a home release, has both home and arcade versions on the same cartridge, that (along with language) is set purely by what the BIOS is identifying as.
NGCD is a different animal altogether. The majority of MVS games got CD ports, but not all. There's a handful of CD-only games as well, but they're all Japanese so unless you can read moon language you're out of luck -- unlike cartridge-based systems, the CDs don't have both languages on them. It's comically easy to change the region of the CD -- it's a jumper, which you can easily wire up to a switch on the outside if you want to be able to change it on the fly -- but changing the region of the system, unlike with the cart-based versions, won't change the display language. NGCD has painfully, painfully long loading times. No really. Painfully. And when you figure most NG games are arcade games, especially fighters and puzzle games, and think about just how often fighters and puzzle games load... yeah. It's brutal. However, NGCD also has zero copy protection so it's a great way to try out games before you buy.
I myself have both an AES (with UniBIOS mod) and a NGCD, both modified for Component video. I also have a friend with a standup MVS cabinet and am thinking about getting a CMVS myself eventually, but it's low on the list. My collection stands at 8 CD (bought in a lot when I got the unit), 6 AES, and 27 MVS games. The MVS route is just the way to go -- although with the increase in popularity CMVSes are seeing, their games are going up in price too.
Anyway, hope I didn't scare you off -- it's a great system and I recommend getting into it if you can afford it, but it's not for the faint of heart. Feel free to ask any questions.