I like the Saturn a lot. I have one US model and one gray Japanese model, and a couple non-working systems. I mainly collect Japanese games; my Japanese collection is a lot bigger than my US collection. I started collecting for it when a lot of the Japanese games were still pretty cheap. I didn't own a Saturn when it was still being produced, and my experience with it was very limited until years later. I was mainly playing PS1, N64, PC and arcade games during that generation. I became interested in the Saturn much later, but I really like it now. Some of my favorite games for it are the Sega AGES games (especially Out Run), shooters like Radiant Silvergun and Layer Section, and ports of 2D arcade games in general. Oh yeah, and I own a Sega ST-V too, with one game (Die Hard Arcade). I've kind of slowed down collecting for the Saturn because I already have most of the games I want, and like you said, the prices can be kind of ridiculous now. I still play my Saturn pretty regularly, though.
One thing I find interesting about the Saturn that I haven't really gotten into yet is the RAM cart. At some point I'd like to get the 4MB cartridge and X-Men vs. Street Fighter, and maybe Vampire Savior and others.