Street Fighter Alpha (pretty much every Capcom Fighter, really)
THIS, so much. The stuff that came out towards the end of that generation, especially those games that use the Sega Saturn 4Mb cart, are something close to a technological marvel: beautiful-looking games that are close to arcade perfection.
X-Men vs Street Fighter, Vampire Savior (I'm forgetting what the US name is... maybe Darkstalkers 3?), Street Fighter Zero 3.
On the SNK side, Real Bout Fatal Fury Special is also nice, with KoF 96/97 being slightly less so.
Of course, these examples are pretty much universally better on the Saturn, because of the extra cart. Some of them are just downright unplayable in their arcade form on the PlayStation. The earlier gen stuff (e.g, the original Street Fighter Zero, the original Vampire/Darkstalkers, etc) and some less intensive stuff (e.g, Pocket Fighter) is decent on the PlayStation as well.
Stay away from the original Marvel Super Heroes, as it doesn't run very well on either console. (I have the Japanese Saturn version, and even its "3Mb" mode doesn't help with the slowdowns or the loading much at all).