First of all, I have all the 3 and love them equally.
I live in Japan, so it is considerably easier and cheaper to collect for all the three consoles here than it is in the West.
But if you live in the US, maybe you should first ask yourself how do you intend to build your collection. What region do you intend to collect for?
The Neo Geo CD has no region locks and the Saturn can become region-free with the use of a simple (and not so expensive) cartridge. On the other hand, the TurboGrafx 16 is far from import-friendly as it needs an adaptor (that is getting rarer and more expensive everyday) to run Japanese games.
If you have easy and cheap access to retro games at flea markets, or good-wills, for example, both the TurboGrafx 16 and the NeoGeo CD can be good options as they both have awesome games and can be very fun to collect for. But or if you intend to buy imports, I would recommend a Japanese Saturn or a Western model with the region unlocking cartridge, as the Saturn's Japanese library is fairily large and unexpensive when compared with the US. A game like Panzer Dragoon RPG that does not go for less than half a thousand dollars can be found in Japan for around 10 bucks.
In terms of graphics, there is no comparison. Although being very competent in 2D, both the NeoGeo CD and the TurboGrafx 16 are unable to handle 3D, while the Saturn is, in some aspects, even more powerful than the first PlayStation in both 2D and 3D. Also, the Saturn has a varied library that goes from shooters to RPGs and from FPSs to platformers while the Neo Geo CD is also almost exclusively focused in fighting games and beat 'em ups.
And, when rationally thinking about it, I consider Sonic R to be garbage, but I cannot hope but love its soundtrack and all the cheesiness of mid-90's Sega.