Damn.. the two games I was going to recommend have already been suggested - Magical Drop III & Radiant Silvergun.
I played MD III to death on the Neo Geo emulator so I was chuffed to find that it came out on the Saturn as the chance of me getting it for my AES were pretty remote. I've got MD II too and the first game which was called Chain Reaction.
Radiant Silvergun is a great game and actually worth the high price it commands. I'll probably never finish it, as shooters are NOT my speciality (in fact, I've no idea what my speciality is) but every time I play it I think "how the hell did they do all this on a Saturn" where a lot of other games just didn't push the system in the way that Treasure did.
Just as an aside, was Sega Ages released in the US? I know that us PAL gamers got all three games (Out Run, Space Harrier & After Burner 2) as one compilation while in Japan they were all released separately. What did the US get?