Sadly, the KOF series did not get a debut until KOF95 showed up on PSX and Saturn. However, we in the USA got KOF95 on PSX, while Europe and Japan got KOF95 on Saturn (which is the better port). Yet even the Gameboy got KOF95' back then. Meanwhile in Japan, KOF96 and 97 were ported to PSX and Saturn, we never got to see them again...
However some years later, the Dreamcast got KOF98 (Under the name KOF Dream Match 99', really meant to be a minor upgrade to KOF98) & 99, but in Japan they got 00', 01' and 02'...while we didnt... and US PSX got KOF99 somehow..... PS2 has KOF00/01 and Xbox has KOF02/03...and sadly the remake of KOF94 Re-bout for Xbox was cancelled earlier this year

Instead the Japanese PS2 got it..and they even have the entire KOF series on JPN PS2...94-95-96-97-98-99...in 2 different volumes...
SO, here's your choices as an American of what you can play without having to import as followed:
Dreamcast:
KOF Dream Match 99
KOF99
PSX:
KOF95
KOF99
Classic GameBoy:
KOF95'
GameBoyAdvance
KOF EX
KOF EX2
PS2:
KOF00/01
KOF Max Impact (3D KOF)
Xbox:
KOF02/03
KOF NeoWave
KOF Max Impact Maniax (Minor upgrade, but not much different then the PS2's 3D game)