Some fantastic Saturn games that won't break the bank:
-Area 51 - Do you like to shoot aliens in the face? Do you like cheesy voice-acting? Do you like blowing things up? And finally, do you like light-gun shooters? THEN YOU'LL LOVE AREA 51!
-Astal - An absolutely gorgeous 2D platformer with a lot of charm. Brings back memories of Sega's glory Genesis days of platformers, but with better graphics and a great soundtrack.
-Darius Gaiden - One of the most underrated shoot-em ups ever, seriously. This game is a must-have in any shoot-em up fans' library.
-Galactic Attack - Another great, under-sung shoot-em up game. Not as good as Darius Gaiden, but for a shoot-em up fan, there's still a lot here to like.
-Gex - Very fun 2D platformer that was originally released on 3DO, and also released on PS1. If you don't already have it on those systems, then this one is great game to get. Nice level design with some well thought out worlds, and a lot of humor and pop-culture references.
-Marvel Super-Heroes - There are better 2D fighters from Capcom on the system, but most of them involve importing and extra RAM carts. This is a great 2D fighter that requires zero importing.
-Mortal Kombat Trilogy - Simply put: The single best 2D (hell, better than any of the 3D entries, either) Mortal Kombat game ever made, period. The roster is humongous. And level-selection is HUGE. And there are even multiple versions of some characters (Smoke, Shang Tusng, Sub-Zero, etc.).
-Panzer Dragoon - Great combination of a shoot-em up and an on-rails shooter. Beautiful graphics and music accompany the experience, too.
-Panzer Dragoon: Zwei - The 2nd game in the series. I'm told it's even better than the first, but unfortunately I haven't actually played this one, yet.
-Resident Evil - Well, to tell the truth, it's really not must-have, since it's on 20 other systems. But if you live under a rock and haven't played this game yet, the Saturn version is a fine version (that is unless you have access to a GameCube or Wii, because the remake on those systems outshine every other version, BY FAR.).
-Road Rash - Very fun motorcycle racing game. Long races across far distances (instead of looping around a track). Great selection of bikes. But the biggest draw here, is that you can pummel your oppenents with your fists, 2 by 4s, chains, or other objects as you pass them. So it sprinkles a little combat in there, which really sets it apart from the 50 other racers on the system. And to clear things up, this IS NOT the same game as the Genesis/Master System Road Rash game.
-Shinobi Legions - Great 2D action-platformer with Mortal Kombat-esque digitized graphics. And so cool live-action ninja cutscenes. One of my all-time favorite Saturn games.
-Sonic 3D Blast - There's a lot of hate out there for this game. And I fully admit it's not nearly as good as the 2D Sonic games before it. But nonetheless, I thought this was a fun little game, and the Saturn version is the best version to get with better graphics and a better soundtrack. As well as a few little additions here and there to the levels and backgrounds.
-Virtua Cop 1 & 2 - Who doesn't like light-gun arcade shooters? These are 2 of the best from the era made by Sega.
-X-Men: Children of the Atom - Again, like Marvel Super-Heroes, there are better 2D fighters from Capcom on the system, but most of them involve importing and extra RAM carts. This is a great 2D fighter that requires zero importing.