The Panzer Dragoon's are a must have. After that I would say get Fighter's Megamix, a great 3D Fighter from AM2. Capcom made some excellent CPS2 ports on the Saturn, X-men vs Street Fighter, Marvel Super Heroes vs Street Fighter and Street Fighter Alpha 3. While the vs titles are obsolete thanks to MAME, the port of Alpha 3 is still considered one of the best to this day as it has the content from the Dreamcast version, but doesn't have the messed up V-ism timing and what not that the Dreamcast version has. For RPG's There are some good english ones from Working Designs, but they are very expensive today. There are some cheap Japanese imports though such as Grandia, Lunar Silver Star Story Complete, Lunar 2: Eternal Blue, etc. Finally some good Sonic Team games are Sonic Jam, NiGHTS, and Burning Rangers.
So in a list I would say these:
Panzer Dragoon
Panzer Dragoon 2 Zwei
Panzer Dragoon Saga (Prepare to pay an arm and a leg for this one)
Street Fighter Zero 3 (Around $80)
Fighters Megamix
Sonic Jam
NiGHTS into Dreams
Burning Rangers
Grandia
Lunar Silver Star Story Complete (Requires MPEG card, if you don't have that just get Silver Star Story)
Lunar 2: Eternal Blue
I didn't include the working designs games in the list because today they are very expensive, you will end up paying around $80-$150 a piece for a complete copy of each one.