You're gonna pay out the ass for Megaman 8. That game goes for a lot unless you can find someone reasonable to sell to you.
The saturn is totally worth spending money on, though. In the last month, I've spent over $1500 on saturn games, but my collection is goddamn awesome now. You might think it's expensive, but I completely recommend Shining Force III, Panzer Dragoon Saga, Burning Rangers, and Deep Fear. All will run you at least $150+, likely up to the $250+ range if you're using ebay, but they're the best 4 games on the system. I also recommend picking up the japanese-exclusive Shining Force III scenarios (along with the premium disc) and modding your saturn to play them translated on real hardware. All of what I described could total you up to $1500 if you're not looking for good deals, though, but it's so worth it.
Another game worth dropping some cash on is Psychic Killer Taromaru. Only 7,000 copies exist, but it's likely the best action game on the system. Of course, you're gonna need a Pro Action Replay 4m+ to play all these imports, but picking up one of those is well worth it. A modded saturn plus a PAR4m+ is basically a region free, 4 mb ram extended saturn that can play absolutely any title.
If you're looking for some better, but cheaper, games, I suggest Thunder Force V, Dead or Alive, Fighters Megamix, and Sega Rally. Those won't break the bank like the games listed above, but they're great games for the system.