Capcom vs SNK 2 is definitely worth getting, it's not perfect, but the bringing together of Capcom and SNK is just too big to pass up.
With Alpha 3, I actually would reccommend getting that on Dreamcast, as it has a really brilliant single player mode called 'World Tour'. Seeing as theres no online play for Dreamcast, you might really appreciate having a fun and content filled single player game for it. I also prefer Alpha 2 to 3 for VS play though, I never liked the multiple -isms of 3.
As for SFIII, I would say go with Third Strike and don't worry about Second Impact. If you must, you should look for SF3: Double Impact, which comes with both SF3: New Generation and Second impact on the same disc.
If you don't have Garou: Mark of the Wolves or King of Fighters '98 (Or KOF '99 Dream Match as it's called on Dreamcast) those are essential buys. In both cases the XBLA ports are probably better though, KOF98 especially since it is the "Ultimate Match" re-release from a few years ago with extra characters and balance changes.
Also, if you are interested in playing these games online you should check out GGPO. Before Sanus' computer went up in smoke we used to play Garou, KOF and SFA2 on it all the time, and even though we are on opposite sides of the planet it was just about lagless. If you are interested send me a PM or post in the Fight club thread and i'll help you set it up!