My top Sega Saturn games (I'm only listing exclusives):
Astal
Baku Baku
Battle Monsters
Blazing Dragons
Bug!
Burning Rangers
Clockwork Knight
Daytona USA
Die Hard Arcade
Dragon Force
Enemy Zero
Fighting Vipers
Golden Axe: The Duel
Guardian Heroes
Gungriffon
Herc's Adventure
House of the Dead
Iron Storm
Legend of Oasis
Nights
Nightwarriors
Panzer Dragoon
Panzer Dragoon Zwei
Panzer Dragoon Saga
Saturn Bomberman
Shining Force III
Shinoni Legends
Sonic R
Virtua Cop
Virtua Fighter
Virtua Fighter 2
Virtua Racing
Virtual Hydlide
I left out some sequels unless they really charted new territory (Bug Too!, Clockwork Night 2, Daytona Championship, Fighters Megamix, Sega Rally, Virtua Cop 2 were all fun, just more of the same fun).
Also, if imports don't scare you, get an Action Replay and enjoy a ton of nearly arcade perfect Capcom and SNK arcade ports, though, for those, there are XLBA/PNS/WiiWare collections that would be more cost effective, though, they weren't an option when the Saturn was current, and the Saturn versions of Neo Geo games, even as imports, was a more cost effective way at the time to play these games at home rather than picking up AES copies.