Money.
Lots and lots of money.
There's nothing more essential when it comes to Saturn.
But seriously, I hope this thing gets decent emulation before 2030, otherwise, any of the games of this thing will never be enjoyed again by anyone. I have one that doesn't work quite well, with those prices, it stays inside a box most of the time, I can't get good games without starving for months.
More than recommend games for the system, I recommend to stay away from it if you are beginning. You won't be able to get much fun from it unless you mod it to accept copies or add an SD card reader, which isn't much of an option either since those mods don't come cheap either.