1) What kind of controller do you have?
Is it the
USA one or the
Jap one? The US one is a piece of garbage, the Japanese one is one of the finest control pads ever made. It's different to modern layouts, but it's almost perfect for arcade styled games thanks to the 6 button layout and the best D-pad ever created. Even today fighting game players laud the Saturn pad as the single best arcade pad ever created. Nobody has replicated it yet.
It's better suited for some games than others, but stick with it. I used to play it with my right hand with the fingers on top and the thumb underneath (like an arcade machine) so I could press all the buttons easily). Try that if it helps.
2) The analogue works for a few games, but you'd have to google to look up a complete list.
One thing I will recommend is trying out Quake or Duke 3D, and look up the "Jevon's Control Method" cheats. It's a brilliant control option that lets you move with the face buttons and free look with the analogue stick. Years ahead of it's time and the name has a very interesting story behind it. Let me know if you care to know more.
3) I believe Barrington answered this one spot on.
4) As barry said, this had multiple uses. The primary was for the memory carts. Later in the systems life SNK released some games with ROM cartridges (King of Fighters '96, '97 and Metal Slug come to mind). These worked only with the respective games and made then nearly/Arcade Perfect ports.
Even later on, Capcom and Sega developed a 4MB RAM cartridge to boost the Saturn's RAM. For some games it was
mandatory (X-Men vs Street fighter did not run without it), others it was
optional but made the game run far better (Marvel Super Heroes, Cyberbots etc). I believe you can use this for some USA released games like Marvel Super Heroes (Check the options screen for 'Ram cart' stuff).
I believe the PAL versions did not get this support (running at 50hz instead of 60hz etc).
Most recently there are Action Replay and the like carts which combine memory and RAM boosts, and also provide region unlocking.
5) CRT is the optimal way to enjoy Sega Saturn hardware I believe. CRT displays are best for anything pre-HDMI really. There is a whole slew of reasons for this, but just take my word for it, CRT will look best (unless it's a horrid CRT).
Not to mention if you want to play Virtua Cop (and you do), you need a CRT. Light guns only work on CRT tech.
6) Oh boy, opening a can of worms here. Your and Barry's lists are both very good
Your list:Sonic Jam
Burning Rangers
Panzer Dragoon Zwei
Saturn Bomberman
Barry's List:AM2 fighters (all godlike games)
Virtua Cop 1&2
Last Bronx,
Bug!
Clockwork Knight
My own suggestions:Stuff that's ONLY on Saturn:Panzer Dragoon 1
Panzer Dragoon Saga (If you're rich that is, this game is fucking RARE)
Shining Force III (One of my top 3 games of all time. If you can get the Jap-only Sc.2 and 3 to work, it's one of the best gaming experiences you'll ever have. Try to do that through emulation if you can, but at the very least play Scenario 1!)
Virtual On
Athlete Kings (multiplayer fun)
Steep Slope Sliders
Die Hard ArcadeGames that have had ports/re-releases but you might still want to check out:Duke 3D/QUAKE (Not as good as PC versions, but these games running on Saturn were a MIRACLE)
Capcom Fighters (I mean, now you can emulate on GGPO/MAME, but Saturn was THE best 2D Fighting console at the time, NOTHING came close)
Guardian Heroes (Also on X360 now)
If the list is too big, I mostly recommend Shining Force III and Panzer Dragoon Saga. Those are two crown jewels in the lineup from my list.