I guess I'm the man to talk to about this.
I've always said to buy the STV version, but now I definitely see a bonus to getting the saturn version (if you plan on seriously playing it, that is).
1) you have a thousand more boss battles.
2) you have save options with level select so you can practice levels (it kinda sucks when I practice this and I have to go through each stage)
I'm not sure half the people realize how deep this game is. Many people see the level of difficulty, and think that it's a regular shooter where completing the game is the purpose - but they've been fooled. This is really a "play for points" game. The idea is not to blast everything that is thrown at you. The idea is to destroy your enemies in a certain order (I'm not going to go through the details about that - I've had a wonderful experience writing my personal FAQ for the game, and wouldn't want to deprive anyone of the joy), using each of your 7 weapons during specific times to get the maximum amount of points. Even simply killing the bosses is second priority. You can get 10x the amount of points is you completely dissect your enemy (literally), and destroy each individual part of their body (each gun, arm, link, etc).
Truely a masterpiece - and I'm certainly not a Treasure fanboy - ask chainsawyak about the details on that.