I have an Action Replay cart on my Saturn and it allows me to play imports and back up saves but it does not allow me to play CDRs, which is a shame because I wanted to play Panzer Dragoon Saga without paying £100 for it.
Anyway, for the Saturn, I recommend: Tempest 2000, Tomb Raider (controls are better than on PS), Duke Nukem (better looking and faster than PS version but without the bonus levels) and Nights. I am not that bothered about the other games I have. It seems that the best Saturn games cost a fortune (Panzer Dragoon Saga and Radient Silvergun, for example).