To the OP - sadly, I can't add much here that hasn't been said already. I myself bit the bullet last year and bought an AES. Games for it are not easy to find and when you do find them, they aren't cheap. MVS is the way to go if you hope to play most of the games, but I'm a stickler and want only official hardware for home use. And I have to say, even though my AES collection is small, it's a joy to own the games I do in original home cart packaging. Just holding one of those monster carts in your hand is very satisfying. They smell really nice too, seriously!
For those games that I'll never, ever be able to afford, I've bought Wii discs that have some of them. Metal Slug Anthology on Wii has MS 1 through 6, costs about $15 on Amazon but would cost about $7500 (??) if you found and bought the home carts. There's also a Samurai Shodown Anthology and a SNK Arcade Classics Vol. 1, which has 16 games.
Good luck!