Conventional wisdom will tell you that anything 2D is better on Saturn. Its usually true, but in some cases it swings the other way. Symphony of the Night is better on PS, so is In the Hunt. There are also some where its kind of borderline, like Thunderforce V (backgrounds are better on SS, polys better on PS).
However you can be safe buying everything for Saturn though, just to keep it simple, since while some 2D games are slightly better on PS, none of them are unplayable shit like the PS versions of any Marvel VS game from Capcom, or KOF. KOF 97 on Playstation is....soooooooo terrible. Its missing so much animation I can't even combo.
EDIT: changed the KOF example from SS to PS (I f*cked up) and from 98 to 97 since 98 isn't even on Saturn.