Honestly, I would get a memory cartridge, unless you don't want to wait for shipping. Each cart holds so much memory you'll never run out, and mine hasn't lost any battery charge in all the years I've had it (do they even take batteries on the cart?).
http://www.ebay.ca/itm/Sega-Saturn-8-meg-memory-cart-/151718676725?pt=LH_DefaultDomain_0&hash=item23532348f5I guess it also depends on how much you plan to play the Saturn. Mine was played for like 15 years or something with a big library so it was worth it. If you're only after a handful of games then maybe just find the batteries at Walmart and see how far they carry you first.
If that's the case you make, I'll consider Megamix. I've seen .gifs of the car in action, and it looks amazing, truly a highlight of the Saturn's library.
Re: why I don't like fighting games bc someone asked: I've just never been able to wrap my head around them. Pulling off combos, learning lists of moves, realizing the nuances of each character, it's too much for me. I just pick someone who looks cool and hope for the best. It doesn't help that fighting games (at least the ones I've played) don't actually show what buttons do things. Combos just say "kick, punch(it's all in the mind), block, snorkle" but never tells me what button to press for each command. Just frustrates me more than anything. And this is after having tried several Soul Calibur games, Skullgirls, Smash, and probably a Street Fighter at some point.
Even though I'm the biggest fighting game nut on this board (maybe except inthesky?) If you really really don't like fighters, I don't know if AM2 fighters will convert you, even though they are amongst the best games ever made.
Fighting games do take patience and you need to want to play them. They aren't the kind of game you get much out of just by mashing or diving in without putting in at least a little bit of work. This isn't bashing you, it's just agreeing that not everyone 'gets' them.
As Barry said, AM2 fighters are renowned for their simplicity to start, but very high skill ceiling once you get an understanding. Input buttons are limited to Guard, Punch and Kick, and all moves are combinations of those three or direction inputs + one of them.
If you need to choose only ONE game, go for Fighters Megamix, since it's exclusive to Saturn and probably the most casual friendly. Having said that, Virtua Fighter 2 is far and away the superior game. I would suggest getting that on X360 or PS3 though, which is an arcade perfect port rather than the Saturn port which had a lot of graphical compromises (at the time it still blew away everything though, it was phenomenal).
As I said, VF2 is one of the very best games ever. Not fighting games, but best games ever. At the same time, I don't know if you'll appreciate if you don't like fighting games, which is fine.