Favorites : Capcom vs SNK 2(by far), SFII HD Remix, and currently Street Fighter IV. CvS2 is probably the best 'Alpha' game out there so if you are into that you should give it a shot. And if you are obsessed with parries, theres P Groove in the game that allows it.
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There was a third Daigo vs Justin this year at Season's Beatings with Daigo taking it yet again. Guy is literally The Beast.
As for the SFIV TE stick, its def worth a buy. My friend has it, and it has some really good authentic Sanwa parts. The insides is also extremely easy to mod/replace parts as well. I have not bought the Round 2 sticks though, but the Round 1 ones are definitely top grade and won't let you down.
Having said that, it is very sensitive, the buttons and stick so you have to be a lil more precise. Not that its bad, but some people prefer American Sticks because they have more strong motions. So consider that too.
For online play i would recommend googling up GGPO...and in case you are wondering about a gaming peripheral for your PC, the SFIV TE sticks for both PS3/Xbox360 work on PC. The netcode is top notch and free to play.
VF also has the best Tutorial imo...they need that in SFIV or hell any fighting game...