NiGHTS is probably the best game on the console IMO, good choice there. The first two EWJ games were solid, but I never played the Saturn version, can't image it's much different though.
Rayearth was the last game that came out on the Saturn, it's not bad, but it's nothing impressive IMO. Vic Ireland occasionally puts a new copy on Ebay from what i've seen so if you want to drop $150 or so on it, you can. If you're going to drop that much cash on a game i'd suggest Radiant Silvergun instead though.
Daytona was a rushed port and had a shitload of issue. Wasn't too bad back in the day, but it's probably not going to hold up well. There was a second verison which was better though.
Also, if I were you i'd get an import cart and buy mainly Japanese games. Assuming it's not an RPG or something it typically makes no difference and most of the Jap versions games go for far less. I paid $12 for a mint copy of Saturn Bomberman when the US one goes for like $80.
Other good games you might want to look into Panzer Dragoon 1 and 2 (Never played Saga), Guardian Heroes (It's expensive though), Baku Baku, Fighters Megamix, and Dragon Force (Again, expensive).