Thankfully, there is no region protection on the Neo Geo AES system - you can take any game from any region and it'll work in any AES machine. However, the region your machine is from will determine a few factors in the game -

For example, if you put a US 'Samurai Shodown' cart into a Japanese AES machine, you'll be playing 'Samurai Spirits' instead - the same basic game with a different title. The main differences between US & Jap games are titles, levels of blood (it's usually replaced by white 'sweat' in US games) and the 'bounciness' of the female characters in fighting games. If you want your games with red blood and with bouncier women, you'd probably be better off with a Japanese machine!