The Sega Saturn has a great library, it just depends on what kind of games you like (never owned a Japanese Saturn, mind you, so I don’t know which games to help you with there).
If you don’t mind on-rails shooters definitely check Panzer Dragoon and its sequel, Zwei (if you liked Sonic Adventure’s Tornado sections you’ll definitely get kick out of them). There’s also an RPG spin-off, Saga, which is highly-acclaimed as one of the best RPG’s of its era, but unfortunately, it gets quite pricey on eBay these days. If lightgun games are more your thing, instead, I hear Virtua Cop and its sequel are worth playing.
As far fighting games go, Virtua Fighter 2 is pretty good. It’s been years since I’ve played it, though, but SEGA fans still hold it in high regard, last I checked.
Then there are the Sonic games, which are honestly quite hit-and-miss. Sonic 3D is an enhanced port of the MegaDrive original, and it can be frustrating at times (it’s really isometric, not 3D). It’s not awful, but it’s better played modded on PC. The soundtrack by Richard Jaques is ace, though.
Sonic R is a pretty interesting hybrid between a racing game and platformer, but it’s extremely clunky and difficult to master (I honestly don’t blame people for having a negative impression of it, but it’s always funny when I have a friend over and they’re amazed at how well I can play it). I’m under the impression you might’ve already played it, though. In all honesty the Saturn version would be a downgrade compared to the PC port.
But Sonic Jam? Still my favourite Sonic compilation game, even after all these years. It beats Sonic Mega Collection, for me, hands down: While it only features Sonic 1, 2, 3, & Knuckles, it’s to date the only true port of those games converted to run on other hardware (instead of an emulator). The experience is pretty smooth with almost no issues, and as a bonus, it comes with “Normal” and “Easy” difficulty settings for a more relaxed experience. I found it perfect for getting better at the games (also includes a Spin Dash options for Sonic 1) when I was much younger. The extra’s are pretty great, too: You get dropped into fully 3D hub world with character bios, an art gallery and Japanese commercials with a few short OVA’s. It’s pretty great.
There’s also Sonic Team’s other games, like NiGHTS into Dreams. This was a bit of an oddball, but once I understood what I was doing, I started having plenty of fun. You mostly fly around in circuits collecting orbs. Sounds simple, but there are plenty of other factors such as warping scenery and inventive level design which keep your attention, and there’s a present challenge to amass a high score against the time limit (if you decide to get make sure to get the 3D gamepad controller: The thumbstick was designed for this game in mind). The other game from Sonic Team is Burning Rangers, which sees you as a futuristic fire-fighter in a platformer to save civilians. It was released towards the end of the Saturn’s life and is technically impressive for its time, but it’s sadly quite expensive these days.
But if you’re into racers, pick up Sega Rally Championship, no question. It’s a perfect arcade conversion and handles like a dream. You’ll have fun against friends with it.
Plus, it comes with the best game over screen ever conceived in the history of man:
Oh, and you should definitely pick up a memory back-up cartridge. The Saturn’s internal memory is powered by a battery for the internal clock, and once it goes, boom, that’s it: All your save data is gone, just like that. Definitely annoyed me when I booted up the console one day and found everything had vanished. Consider it essential and worth saving you blood and tears.