I'm going to add to that: if you live in Europe and want to want to buy PDS, you will also need a PAL Saturn, as the game is region protected and will NOT work on u Jap or US Saturn even with an action replay, there's codes out there on the web that supposedly will make it work, I tried em all and could not get it going, so it is the one game I kept my PAL Saturn for. I have read this is also the case if you want to play the legit US version on a Jap Saturn, but haven't tried this myself so am not sure about that.
You really want to stay away from PAL & US games, as 1) they are so expensive, it has become ridiculous, 2) bot regions have shit boxes that break easily & 3) (most importantly) you can find most of the Jap counterparts for a fraction of the price, the only PAL games I own (and buy) are text or audio driven ones like rpg's & Burning Rangers.
I also prefer the 3D pad over the regular Saturn pad, because it just feels way better, the build in ten times better compared to the regular one. I also suggest (providing you tv has this), you get an rgb scart cable, as it really unlocks the Saturn colour palette http://www.consolegoods.co.uk
As for games...it's a bit of a mixed bag depending on what you like, it has a ton of shmups, not nearly as much as the PCE, but as far as shmups is concerned, the Saturn is the second best thing out there,
it is a bit thin on 2D platformers however, but the ones it has are great (Clockwork Knight: Pepperouchau No Fukubukuro is a must have imo) also has a ton of weird Japanese exclusives and puzzle games, and a lot of old arcade compilations (I like the Saturn version of Capcom Generations best, as it has the arcade version of Ghouls 'n Ghosts running at the correct speed, plus the Snes Super Ghouls 'n Ghosts without the horrible Snes slowdown). If you got games like the original playstation in mind, you should stay away from the Saturn, as you will be dissapointed, it's a 32 bit console, but a completely different machine altogether.
as for games...depending on your budget
Mystaria (Blazing Heroes in the US)
Dark Savior (unique action rpg, unlike anything else with a great story)
Capcom Generation 2
Wonder 3 (compilation that has both Midnight Wanderers & Chariot)
Magical Drop 3 (skip the other 2, this is the best version)
Puyo Puyo Sun
Shining Force 3
Thunderforce Gold Pack (has all 3 Mega Drive Thunder Force games plus the arcade version)
Thunder Force 5
Layer Section series
Nights Into Dreams & Christmas Nights
Kyukyoku Tiger II 2 Plus
Dungeons & Dragons collection