I wouldn't recommend the 32X CD to a beginner, it's like trying to program 3 different consoles at the same time. You have roughly 5 CPUs, a few VDPs, some sound processors, CD drive reading and some pretty awful bus constraints to deal with. Not to mention the Genesis 68k and the Sega CD 68k have to be kept in sequence or your combined program will crash.
I agree, personally I would stick with making a PC game first using Unity or UDK or RPG Maker. But, I threw those out there for people that are masochists.
ggallegos1: Saturn, PS3, any console that has multiple processors is difficult to program for.
Coding for multiple things that need to talk to each other is like juggling, especially since a game generally needs things to happen in sequence. Its why you rarely see games take advantage of multiple cores or processors. I think the games sega made for the Saturn were extrodanary feats of engineering, especially Virtua Fighter 2.
Even now, its usually the System calls, that get delegated to other CPUs, as the OS handles that for the programmer. Granted they are sort of useful in consoles now... to run things like chat, I/O and networking, stuff the game shouldn't care about.