KOF '95 is also an excellent game. It still has those old-school physics and mechanics that, mixed with KOF elements, make for a very interesting game. Love the damage, superb normals, projectiles and overall power level of the cast. Last KOF with proper AA specials, too.
2002 is wonky, buggy, ugly, but under all that there's a solid game. Problem is, unlike '98 which still stands on its own even with UM and FE, 2002UM made it obsolete.
'96 and '97 though, those are quite bad. Absolutely no reason to play them today unless you are a nostalgic Chinese player.