Well for starters, it's a given that any NGP fighter is worth buying. Literally. KOF R-2, Fatal Fury: First Contact, and Samurai Shodown 2 are killer, but the game you should really get is SNK vs. Capcom: Match of the Millenium. It's one of the best fighters ever made, pocket or no, and it kicks the living HELL out of the arcade/console Capcom vs. SNK games. I'm not even kidding. Not only is it just an absolutely stellar fighting game, it's got really nifty extras and references and some hilarious new SNKgrish to enjoy.
The Last Blade, I hear, is also something special, though I haven't played it.
In terms of non fighting games, the SNK vs. Capcom card games ("Card Fighters Clash" -- awesome title) are really fun, though they are a lot more so if you have someone to trade with... which I don't. =\ And both of the Metal Slugs (1st and 2nd mission) are really great, though a little on the short & easy side (I suck at that sort of game, and even I beat it with little difficulty.)
And actually, the best thing I can probably offer you is Sector: NGP (
http://www.classicgaming.com/sngp), easily the best NGPC fan site ever, and probably the only one left. It's got an all right forum where you would get better answers to these sorts of questions than you will here, as well as a crapload of information on the main page. I would recommend checking that out pronto.
As for where to get the games aside from eBay... umm... Half.com! Seriously, I don't know of any online retailers that still carry NGP stuff, but you could try asking over at S:NGP -- most of the folks who hang out there are far more avid SNK fans than I, and are liable to know about it if anybody does still sell NGP stuff.
And, now that you have one, I really want to play with you sometime! :D
EDIT: Oh yeah, one other thing! Something I never got, but that you should watch for on eBay, is the European version of a game called Faselei!, which was actually developed by Sacnoth. It's a mecha RPG sim, so playing it in Japanese would be an exercise in futility, but if you can find the Euro version I hear it's really good. Oddly enough, it came out in Europe before it came out in America, and its scheduled American release date never arrived before SNK USA's doors suddenly got shut. =\
The game used to go for over 100 bucks on eBay, but now that the "OMG I R A COLLECTUR" hype has died down, I think you can get it at perfectly reasonable prices.