One of your first purchases with a Sega Saturn should be the 4-in-1 cart. Outside of being a RAM cart and cheat device, it allows you to play imports (regardless of your system's country of origin.) The Japanese versions of games are almost guaranteed to be cheaper than everyone elses.
Note that most non-Sega carts, like this one, are brutally bad for your cartridge slot (which isn't very robust to start with). Frequent insertions of non-Sega carts will cause the teeth to spread out and make poor contact, rendering the system unable to use carts. If you insist on using these carts, put it in there and don't remove it. Note that this will prevent the screen of a Hi-Saturn Navi from closing.
A lot of the Saturn's library are arcade ports. So, perhaps sadly, MAME has rendered a lot of the system's library obsolete.