TL;DR
My must haves:
Super Street Fighter II Turbo HD Remix (PSN/XBL)
-Street Fighter II Hyper Fighting (MAME, purists)
-Super Street Fighter II (MAME)
-Super Street Fighter II Turbo/X (MAME/Dreamcast, intro of super combos)
Street Fighter Alpha 3 (Dreamcast, MAME)
-Street Fighter Alpha Anthology (PS2)
Capcom vs. SNK 2 (Dreamcast, PS2, PSN emulated PS2 classic)
Marvel vs. Capcom 2 (PSN/360, Dreamcast, PS2)
Darkstalkers Resurrection (PSN/360)
-Vampire Chronicle/Collection (Dreamcast/PS2 Japan only)
-Vampire Savior 2 (MAME)
Street Fighter 3 Third Strike (PSN/360, Dreamcast, PS2)
Guilty Gear XX Accent Core Plus (PSN/XBL, PS2, Wii)
-Accent Core Plus R (supposedly PSN/XBL late 2013)
-Guilty Gear X2 #Reload (Windows, PS2)
Already been mentioned but worth restating, Capcom vs. SNK 2 is a masterpiece. Personally I think it's the peak of the 2D fighter generation. I used to spend like 6 hours a day in the training room trying to master shoshosho and paint the fence. It almost seems lazy how sprites were just pulled from different generations of games, like CPSII era Alpha sprites and CPSIII era SF3 sprites, but it's forgivable since the gameplay makes up for it. It's a game where balance was thrown out the window in favor of fun, which also made it one of the best games to spectate. The roll cancel glitch also added a whole new element to the game when it was discovered and is only maintained in the Dreamcast and I believe PS2 versions of the game, it was removed from the Xbox/Gamecube EO versions.
Your list is missing the entire Guilty Gear series, I'm partial to the X2 generation myself simply because of Bridget. Guilty Gear is even worse than Street Fighter when it comes to rehashes though, so you might be overwhelmed by the sheer amount of releases.
The entire Street Fighter Alpha series is also absent, as well as Darkstalkers-Vampire Hunter/Savior.
A couple of Capcom releases that were never majorly popular but had small cult followings are Rival Schools, JoJo's Bizarre Adventure (apparently on PSN now), Warzard/Red Earth. The failed crossover Capcom Fighting Jam/Evolution. Oh and X-Men Children of the Atom which was the basis for X-Men vs. Street Fighter and eventually Marvel vs. Capcom.
I never did like SNK fighters, but if you're looking for completeness there's Art of Fighting, SNK vs. Capcom (nowhere near as good as CVS2), Garou (Fatal Fury) Mark of the Wolves, the Last Blade 2, Rage of the Dragons, and Neo Geo Battle Coliseum.
If you really want a collection of fighters from the golden age you should probably get a Dreamcast off of Ebay/Craigslist. It had the largest selection of true arcade original ports including Alpha 3, Third Strike, Marvel vs. Capcom 2, Capcom vs. SNK 2, Super Street Fighter II X, Rival Schools 2 (Project Justice), JoJo's Bizarre Adventure, Guilty Gear X (a PS2 is needed for the majority of the Guilty Gear series), the exclusive but cult classic Powerstone 2, Vampire Chronicle (a mash up of Darkstalkers games, also available and updated on Japanese PS2), King of Fighters 99-02, Mark of the Wolves, and Last Blade 2. And there are .iso's for all of these games floating around online so you don't have to try and track down expensive originals and deal with having Japanese and North American consoles for the region exclusive releases.
Most of these titles are also available as PSN/XBL downloads. I quit playing/collecting fighting games a long time ago so I'm a little out of the loop, but somebody mentioned CVS2 is coming to PSN (from what I've read no online play, seriously?*), and Darkstalkers 2/3 came out a little while ago as well. That means for the most part the "must-have" titles are available on PS3/360 with the exception of Alpha 3, which may be coming eventually. I take issue with the Darkstalkers release though, cause even though they're arcade faithful, the Dreamcast/PS2 compilations had access to the full suite of characters. In the arcade versions either Pyron, Donovan, and Huitzil were unplayable, or John Talbain was missing. They really should have used the mash-up as the basis rather than just packing in 2 separate arcade ports, in my opinion.
Also, I'm wary of all these remastered DLC games coming out so late in the PS3/360 generation, as I'm sure within the first year or two of PS4/Xbox One they'll shut down PSN/XBL on the previous gen consoles. But as long as you download them all and pray your HDD never dies I suppose you'd at least have local/offline access to them for as long as your console stays alive. Ten bucks says they re-release all of these games as PS4/Xbox One compatible DLC forcing everyone to re-purchase them to continue playing online as well.
There's also those couple of Atomiswave games that I think only made their way to Japanese PS2, like Fist of the North Star and Rumble Fish, probably not worth tracking down. Dead or Alive series never been a fan, Primal Rage from the Clayfighters/Killer Instinct era.
And of course Super Smash Bros. which has always been the red-headed step child of Evo.
*EDIT: Apparently CVS2 is not actually a PSN title but one of those emulated PS2 classics, which explains the lack of online play. I guess there are licensing issues with SNK Playmore that prevents an updated release? That also means it should be a last resort option only if you can't get a hold of a Dreamcast copy or even the original PS2 disc. Hell I'd even take the Gamecube EO disc version over the emulated PS2 classic since it's backwards compatible with Wii. The Dreamcast version will always be the most arcade accurate since CVS2 was originally released on Sega Naomi hardware, as was MVC2.