Personally, I liked Dungeon and Guarder, but it takes up too much space, so you might want to do what I did when I bought mine a month or so ago:
When you get the game SMC (I got D and G), put it in the GP32 and plug the GP32 into the computer using the USB and the GPmanager software that comes with the package. Use the back-up feature in GPManager and then delete Dungeon and Guarder. You can then use the SMC for anything you want. Then, if you buy a new SMC, move the files on to the new card, format the old card, and then restore the backup of the game on to the old card.
If you buy from GBAx, you get:
A screen cloth (of negligable value, but it keeps the fingerprints and dust off the immaculate screen)
An RF-link, which is useless unless someone you know has one also, in which case you can play multiplayer, to some extent
Batteries. I kept mine for between recharges of the I-c3 NiMH batteries I bought at a walmart, which are ideal.
The USB cable and GPmanager software, which you can use untl you obtain a card reader, which will be much faster.
A CD-R of some games, apps, and stuff that is interesting. You can look through it and see if there's anything interesting, but it's going to be out of date before too long. I used it, and if I liked anything off of it, I could look it up on GP32x archive and get the newest one.
One more thing: It's a BLU+, meaning you will have some compatibility issues. That's not too bad, but there will be some programs that don't support it. You can check the compatibility lists floating around here for more info on that. Personally, I don't have much trouble finding compatible versions of software for mine; the only one I really miss is openSnes.
Hope that helps.