Easy for non-Japanese speakers:
- So many good shmups (Radiant Silvergun, Gradius and Salamander Deluxe Packs, ThunderForce V, Cotton 2/Boomerang, Darius Gaiden)
- SNK and Capcom ports (Zero 3, Vampire Savior, X-men vs. SF, KoF '96/97, SS4, Slug 1 among others)
- Astra Superstars (quirky ST-V fighting game)
- Guardian Heroes (Japanese version is way cheaper and it's still my favorite Treasure game)
Less accessible
- Shining Force III Scenarios 1-3 (Strat RPG, last good entry in the series, there are a lot of faqs and what not to play it)
- Grandia (JRPG, you can get it for nothing on Saturn)
- Burning Rangers
There are a ton I'm missing. Saturn excelled at 2D fighting games/shmups and had a metric ton of quirky Japanese shit (visual novels, crappy licensed anime games, horse racing sims, the usual), some of it interesting, some of it less so. Bottom line is as long as you're willing to put up with Japanese, all of the crazy overpriced US games can be had at a fraction of the price.