Untypically for me, I am currently pretty immersed into a horizontal Shmup by Irem called "In The Hunt". The spritework and animations feel a lot like Metal Slug, which is my way of saying: It looks awesome as fuck. I am also looking into playing the very first RayForce (aka Galactic Attack / Layer Section) by Taito. Both on Sega Saturn, btw. The mechanic of "Mark and Execute/Release" looks like it feels really satisfying!
Lastly, I just want to say that the Sega Saturn is one of the best purchases I have made. The console feels like a magic box, haha.