The combined name of Sega's new video game consoles that were under development in the 1990s. Sega felt that naming their new developments after planets would add a level of mystique to their products. Handheld projects took the names of planets between Earth and the Sun, while home consoles took the names of planets between the Earth and the edge of our solar system. The projects consisted of:

• Project Mercury: The Sega Game Gear
• Project Venus: The Sega Nomad, a handheld, portable Sega Genesis.
• Project Mars: the 32X.
• Project Jupiter: a new machine combining the 32X and the Sega Genesis hardware into one unit. The hardware was to be totally rebuilt from the ground up. This failed and was never produced.
• Project Saturn: the Sega Saturn.
• Project Neptune: a second try at Project Jupiter. This was a combined 32X and Sega Genesis, however this time the two sets of hardware were simply integrated into a single case. Open it up and you'd find a 32X sitting inside a standard issue Sega Genesis. Only one was produced, and it's sitting in a vault at Sega of Japan, probably.
• Project Pluto: Possibly the Sega CDX.

I'll say this for Sega, they had high hopes.

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References:
http://www.atani-software.net/segabase/