KOF 96(and the same goes for 94 and 95 to some extent) takes a LOT of time to finish, far more than other fighting games since you cycle through EVERY team before the boss and there are a lot of teams.
I can barely finish Street Fighter Alpha 3 since I play it during the trip home every night. I could leave it on sleep mode but I also use the music player a lot and end up cancelling my game if I'm in the mood for music.
If not save states, then something like a stage saving option like what SNK used before in certain versions of their games.
Just my two cents. And before someone says emulation, I AM aware of the emulation scene and can re-flash it for custom firmware anytime since where I live, you can rent a Pandora Battery for a paltry sum. I just choose not to for now since the temptation to pirate would probably be too strong to resist... for me at least.