Demons Souls
3D Dot Game Heroes
Killer 7
Metal Gear Solid Peace Walker
Knuckles Chaotix (which also requires me to get a 32X)
Vandal Hearts 2
Guardian Heroes
House of the Dead (my copy literally snapped in half, life never felt the same since)
Chaos Legion (I owned this game also but it got badly scratched before I got to finish it)
iS - internal section

Most of these titles are either rare or simply expensive to buy. Speaking of expensive, my Neo Geo collection is severely limited due to the price of buying most of the games. I could make a list twice as big if I included them.