It's the exact same version, though some Neo Geo emu's have console and arcade mode, but so does MAME it's just a little more difficult to find
A lot find mame challenging to use (not me

) so if you are fairly new to emulation then stick with a Neo Geo emulator or another multi emulator such as FBA (Final Burn Alpha) that supports Neo-Geo CPS1 and CPS2 games (CPS# = Capcom System #)
MAME supports tons of systems including Neo-Geo
One thing to note for Arcade emulators is that there are lots of versions of the rom dumps and you need the correct version for the emulator, with MAME this is much harder as with every revision of MAME the roms are not only added to but lots will also be redumped so older dumps will no longer work
Blaze and Blade (PSX EU and JP exclusive) though it is more fun to play that with 3 other players but single play is good also you just can't visit all the hidden secrets with just 1 player
Personally I just look at translated games at
http://www.romhacking.net/ for translations to find new games to play, I also look for games dumped that never got an official release, providing they are fully playable helps though as some of those never got past there early beta stage