Hmm.. I just saw this today. Looks like no one has given you any ideas for new games. So I guess I just might make a few suggestions.
In The Hunt (Irem sub shooter in the style of Metal Slug, I love this game)
Street Fighter Alpha: Warrior Dreams
Street Fighter Collection
Virtua Fighter 2 (a game that critics said couldn't be done on the Saturn)
Night Warriors: Darkstalkers' Revenge
Astal (nice little side scroller platformer)
Galtactic Attack (great vertical space shooter)
Guardian Heroes (this game has become expensive to pick up, but it is such a great RPG type beat'em up, there is none like it anywhere)
Baku Baku (great puzzle addictiveness)
Marvel Super Heroes
X-Men: Children of the Atom
Sega Rally Championship
Virtua Racing (even though the graphics are simple, it is still a fun racer)
Wipeout (I like the music in this one better than other versions of its day)
Darius Gaiden (love the haunting music in this side scrolling shooter)
Panzer Dragoon II: ZWEI (love the panzer dragoon series of games, these must be experienced if you own a Saturn)
Panzer Dragoon
Christmas NiGHTS ( this is a great game to experience this time of the year)
This is all that comes to mind out of my collection at the moment. I would have to dig into my closet to uncover some more stuff. The Clockwork Knight series does come to mind when thinking about doing that. But I think that this will be enough for now to give you some ideas for your Saturn.
edit: Had to correct the way I capitalized NiGHTS. :