Most of the good ones have either been emulated or rereleased in superior versions.
since emulated entails MAME, here are the non arcade ports you can only play on Saturn. If any of these were re-released and are better, feel free to correct me. Im getting old and my memory isnt what it used to be.
Dragon Force (Saturn version is better than the PS2 port IMO)
Fighters Megamix (game.com port doesnt count!)
Burning Rangers
Albert Odyssey:Eldean
Battle Monsters (great concept, terrible execution)
the Clockwork Knight games (good but not great)
Legend of Oasis
Shining Wisdom
Shining the Holy Arc
Magic Knight Ray Earth
Panzer Dragoon Saga
the Shinobi game was a bit of all right.
I like RPGs so YMMV.
Honorable Mentions:
Guardian Heroes: I incorrectly said it was on steam up there^ , its actually on xbox live (360) online multiplayer is the only thing making it better than the Saturn version (well no load times either).
Virtua Cop 1 & 2: While the arcade versions are emulated , the ease of use with the Saturn light guns and a CRT TV make it the better choice.
House of the Dead : Same as above, and I actually sold this game for like $100 a few years ago.
RayForce/Galactic Attack : There a windows port, Saturn version is best
MegaMan 8: Almost the exact same game as the playstation version, but has a couple extra boss fights.