Panzer Dragoon is probably my pick for the Saturn. Starfox was a huge deal back then and PD was kinda like Sega's answer to it, much as Sonic was their answer to Mario.
Shenmue for Dreamcast for me as well.
Man I miss Sega sometimes, they really had a style all their own, in both hardware and software.
Not a big Fan of saturn myself, don't know the games that made the console special.
Shenmue was such big deal for Dreamcast, the game was far ahead of anything at that time.