Just looking at games in my collection, and off the top of my head: Fighters Megamix, Fighting Vipers,Last Bronx, Shining Force III, Burning Rangers, X-Men: COTA, and Marvel Super Heroes all haven't been ported or have clearly inferior ports (MSH definitely does). I'm not sure if Panzer Dragoon II Zwei ever made it off the console either, and the Panzer Dragoon unlockable game in Panzer Dragoon Orta is the PC version, not the Saturn version. There is also Saga, but that's obviously a 'buy it, sell it back' game if you see it in a local mom 'n pop.
Grandia Sega Saturn
I didn't get too far into the Japanese scene for Saturn, either, so there is likely quite a bit of stuff there worth playing as well. Then there are a bunch of games that I have that I would not call essential that I'm pretty sure are also locked to the console (WSB '98, Bug!, Bug Too, Mr. Bones, Winter Heat, etc.) that I would say are fun and worth playing if you can find a copy. What is a phrasal verb. Panzer Dragoon Saga exists. I don't have enough words of praise for this game. It is, hands down, one of the greatest games of all time, not just on the saturn, not just of the 32-bit era, of all time.