Sega's 32-bit system that was a failure for many reasons.
The only thing preventing it from being a complete failure is Sega's extraordinary first party development teams and arcade ports.
You could probably find a Saturn exremely cheap these days. Snag it while you can, there are some GREAT games for the system!

Why it failed

I payed a lot of attention to the Saturn, trying to figure out why it failed, and I think the best answer, in the end, was the lack of third party support. The Sega CD and 32X certainly hurt Sega as well, and perhaps without an already doubting public the Saturn would have achieved the necessary third party support. Why didn't it though?

The Sega Saturn is actually, from everything I've read, even PSX fans, technically superior to the Playstation. The Saturn actually has TWO chips, each only a bit slower than the Playstation's single chip. This made the Saturn hard as hell to program for. Yu Suzuki and Sega's first party development teams did some amazing things with the system, but no third party developers thought it was worth the time to code specially for the Saturn.
The Playstation on the other hand was extremely easy to publish games to alongside the PC. The PSX has a huge library of fast cheap mass-market games with no inherent value besides marketability. Why take a lot of extra coding time to reach the Saturn's small user base when a game can be published simultaneously to the PSX and PC with ease?

Why was Saturn's user base small? No third party games! Why no third party games? User base is too small to warrant the extra time! Vicious cycle eh? ::sigh::

Sega learned well from this. Thats why the Dreamcast can actually run Windows CE: there is now no reason for game publishers not to port to the Dreamcast.