For the games that do not have a language barrier you will almost always be able to get the japanese versions of games cheaper. In that way I'd recommend the pce. As well, the pce consoles are more commonly found for good prices than the turbografx. The controller cords are very very short for pce, you'll want to get an extension which can easily be found on ebay.
Myself I fixed up a broken pc engine duo (the first combo system that plays cards and cd's) and installed a region mod switch to play us games as well.

As far as hookups go - the original pc engine (white model) can only do rf hookups without a mod...you might have issues tuning to the right channel with the japanese rf, I'm not sure about that. (I know that for rf japanese famicoms you need to be able to tune your tv into the 90s range of channels.) But both the pc engine and turbografx have addons called 'AV Booster' that can give you easily usable composite. The coregrafx (gray) revisions of the pc engine have a video port with composite built in. The combo cd units have this port as well.