I keep meaning to post in this thread, because the Saturn has always been one of my favorite retro consoles. It just has a such a singular, unique library. You can basically look at a screenshot and know it's a Saturn game.
I bought my Saturn when I was in college because I was just starting to get into retro collecting, and there were a lot of Saturn games that were beginning to catch my attention. EGM had recently published one of their "Greatest Games of All Time" lists, and there were a number of Saturn games that looked amazing, including ones like Guardian Heroes, Panzer Dragoon Saga, and Shining Force III. This was years ago, so while things were starting to rise in price, you could still get a lot of the heavy-hitters for reasonable amounts of money. I was also just starting to notice the import scene too, and obviously the Saturn is one of those consoles, like the TG-16, that's essentially defined by its import library. I'm pretty sure the first Saturn game I bought was actually an import Dragonball Z fighting game, that weird 3-on-3 one people typically call Dragonball Z Legends. I wouldn't say it's necessarily a "good" game, but it's definitely a really interesting one that kind of encapsulates the unique things going on with the Saturn (there was a PlayStation version too, but as I understand it, the Saturn version is better).
By this point, though, I've basically accepted that I'm done collecting for the Saturn, outside of maybe the odd cheap import. The handful of games that I would still like to add to the collection have just become too expensive to be worth it for me. Thankfully, I'm really happy with my collection as it is, as I've got tones of games that I really love. And a few years back, when that program was released that allowed you to play burned games on an unmodded Saturn if you flashed a memory card, I actually bought a pre-configured board for, like, $20 and 3D printed my own shell. So now I've got a weird little pumpkin-orange cartridge I can pop into my Saturn whenever I want to play Panzer Dragoon Saga or Psychic Killer Taromarou without having to take out a second mortgage on my house
When I was still living with my parents, my brother and I would often kill an afternoon brawling through some of the alternate paths in Guardian Heroes trying to figure out what was the "ideal" route. It's such an excellent co-op game since the combat is super tight and there's always something new and interesting to see. It's probably my overall favorite Saturn game, but there are plenty of others that I really enjoy. I always come back to Radiant Silvergun, as I feel like it really hits that sweet spot for me with shooters, where it's tough, but doesn't quite cross over into impossible bullet hell territory. Dragon Force is a really unique strategy RPG that ate up a ton of my time when I was in college. I don't think I ever totally completed the campaign, but I really loved the giant battles with dozens of sprites and the rhythm of gradually conquering and maintaining territory. I'm hoping to play the fan-translated sequel at some point in the not-too-distant future.
As far as my recommendations, I think my first has to be Three Dirty Dwarves, which I think I originally learned about on this site. It's a weird 2-D brawler with a very "European cartoon" art style and a really bizarre story about psychic children whose D&D characters come to life and have to rescue them from the military. So you end up wandering through these grungy, quasi-fantasy versions of U.S. locales fighting orcs, crazed hobos, runaway trucks, junkyard dogs, and all sorts of other wackiness. The first boss is some kind of monster man wearing an outfit made out of live dogs, and the second is an entire gym that rises up off its foundation and slowly wanders around the boss arena attacking you. Each of the three dwarves plays totally differently, and you cycle through them with a button press. The combat is super breezy because almost everyone goes down in one hit, including your dwarves, but they're only stunned, and if you can slap them upside the head before all three are taken down, they'll jump back into the rotation. In the game's best moments, it creates a wildly manic feeling during battles, where you're constantly juggling between taking out enemies and reviving fallen dwarves before you get wiped out. It's also one of those games where every level is different, so in one level you're playing a game of baseball, but you're trying to hit balls to defeat opposing players before they can take out your runners on base. And in another your three dwarves are riding a wrecking ball into a building to try and take out a dragon who keeps poking his head out of windows. Highly recommended.
Another fun one is Super Tempo, a zany 2-D platformer. The best way I could describe it would be like a heavily-anime-influenced Warner Bros. cartoon. Like Three Dirty Dwarves, it's another one where every level is kind of something different. The "core" levels are 2-D platformers that play a bit like something along the lines of Rayman, or maybe the old Tiny Toons platformers, but there are also horizontal shooter levels, levels that play kind of like puzzle/adventure games, and strange game show interludes where you can win furniture for your home that may or may not matter at all. It's an import, so some of the story is a little difficult to parse. And the whole thing is just incredibly bizarre. For example, the first level has a section where you have to swim up a waterfall, but when you get to the top you find that the entire waterfall is an enemy peeing off a cliff. The second level features you assembling the Musicians of Bremen because you need them to get through a door for some reason. Eventually the protagonist gets turned into an evil American-comics-style superhero by the villain and you need to play as his girlfriend for a few levels to turn him back to normal. It's weird, weird stuff. But again, definitely recommended.