I don't have any NEO hardware yet, I am saving that for later, getting the games first.
The new garish blue MVS converter 2011 is supposed to play everything, or pretty much everything without any problems.
The previous model, the MVS Converter II needs an external adapter for certain games if you have anything but a 5V NEO GEO system. Also the MVS II has graphical problems with games that use scaling, like fighters and such. So far as I know it works for the Slug series which is all I need so I'll be getting that one sometimes over the next few months.