Wise you say?
*Grows beard, then strokes it*
Hmmm... well if you are looking for local matches, you can't really go wrong with King of Fighters 98 Ultimate Match, either on XBLA or PS2. I would go with the XBLA version since it has online play. It's terrible netcode, but if you have local friends who also have it, it plays smoothly. King of Fighters 2002 Unlimited Match is also coming out (They are both excellent remixes and re-balances of what are arguably the two best KOF Games) on XBLA too. The online play should be much better in that one too.
98 UM and 2k2 UM are good because they each contain EVERY single character from their respective Sagas. (94-97 and 99 through to 2001, respectively)
At the end of the day, for local play it doesn't really matter too much, if you have a Wii then Orochi Saga is probbaly your best bang-for-your-buck option (I remember you said you like 95 the most, which isn't on XBLA/PSN I think) for local play. The downsides are no online and no Ultimate Match 98, but apart from that it's a solid compilation.