Another thing you have to watch out for is that the output power on a video game amplifier is pretty low - a watt or two maybe. If you're trying to feed it into power hungry speakers, it's just going to clip and sound awful when you turn it up loud enough to hear. Also, be sure the new speakers aren't too low an impedance for the board. It's hard to find proper 8 ohm speakers these days, most of the bare drivers you find now are intended for cars, and are 4 ohm. If you tried to wire two in parallel, it's going to put a real strain on the amplifier on the board.
Some video games had fantastic sound - Space Invaders is one that comes to mind. That one had good bass.
But some of the later games just plain sounded crummy. The digitized voice on the fighting games always sounded terrible. Definitely check the caps on the Neo Geo board, I've seen failures there too - common problem.
Also, sometimes new speakers just sound bad. I tried to replace the speakers in my car once - and bought some supposedly good aftermarket replacements. They sounded tinny and raspy - worse than the old stock speakers with completely missing foam surrounds. I returned them and got my money back, and the foamless speakers are still in the car... I should probably work on that one of these days...
-Ian