Oh man. Radiant Silvergun, Guardian Heroes, Panzer Dragoon Saga. All must plays I haven't actually played because they're crazy expensive. I have a Model 2 Saturn so I can't do the swap trick easily either. I should look into emulation too.

But yeah. NiGHTs Into Dreams is awesome, as is Exhumed/Powerslave. Sega Rally too. The Saturn also had the best home versions of 2D Capcom fighters at the time, but I guess that's a bit redundant if you're emulating since you can just use MAME.
That's the problem with Saturn games though, most games are really cheap but the really acclaimed titles can get stupidly expensive, the Japan exclusives in particular. Yet despite all of this, I still lust after a white Japanese Saturn.

ONE DAY.