I don't think Saturn is that great to collect for, anymore at least. A few years ago, it was a great system to collect for. But since the retro-gaming boom, I think Saturn has been hit the hardest with inflation.
The games are so hard to find anymore. And the eBay/Amazon prices for the good ones are getting out of control.
We're also getting to the point with these systems that they're starting to go out. I've heard a few stories of people ordering them and the lasers being DOA.
My suggestion would be to be patient and scope out yard sales, thift shops, flea markets, and Craigslist in hopes of coming across a Saturn lot cheap. It's not easy, mind you, but it's better than paying out the nose for these games like you were buying current-gen games.
And yeah, the game cases are a bitch, as people have mentioned. They're almost guaranteed to get broken in shipment. But when you do get them in good shape, they do look quite handsome on your shelf.
However, here's a list of affordable and fun Saturn games (I think they're still affordable):
-Area 51
-Astal
-Daytona USA
-Bug!
-Gex
-Panzer Dragoon (the original, Zwei is a little pricey, and Saga is INSANELY pricey)
-Road Rash
-Tomb Raider
-Virtua Cop 1 & 2
-X-Men: Children of the Atom