The load times can vary between fighters, with the newer ones generally being worse. I've heard that that most people don't find KoF '99 or LB2 playable, even if they otherwise tolerate the NGCD, though I've avoided picking those up. KoF '94 is notable for loading a whole team at once rather than having to load each round like the rest of the series, and I found that Fatal Fury Special's load times are much shorter than average (and it's a much better fighter than most people seem to think it is). World Heroes 2 Jet also loads multiple opponents at once, but on the negative side, you're stuck playing World Heroes 2 Jet

. Some other recommendations:
Viewpoint - a rather difficult, but well designed isometric shooter. One of my favorites. It's also a game that's old enough to only ever load when you boot it up.
Super Baseball 2020 - It's amazing how much adding women, robots, land mines, and an upgrade system to baseball can liven things up. Another game that only loads once.
Avoid:
Savage Reign - For some reason, this seems to be one of the more common games for the console, but there's a reason that it's a forgotten fighter. It's not terrible, but there's no reason to get a below average fighter on an SNK console when so many better ones are just as easily available.