Retro-Bit’s 2.4Ghz wireless version of the Japanese Saturn controller, which was made in collaboration with Sega itself, can't be beat.
(It also can’t hurt to nab a 3D controller on eBay for use with NiGHTS into Dreams.)
The Saturn had a few expansion modules, but you’ll want to pick up a Pseudo Saturn Kai which combines all the various expansion cartridges into one unit. The Pseudo Saturn Kai functions as a memory card for game saves, additional memory for graphics-heavy games, a cheat device, and a way to bypass region locking.
(Not totally necessary, but you may also want a VCD card, which slips into the back of the unit and enables higher definition video playback in games as well as playback from Video CDs, which were quite popular in Asia.)
Due to the lack of proper emulation for many Saturn games, there are several ODE (optical disc emulator) units available that enable original consoles to read back-ups of games. While the Rhea and Phoebe are among the most well understood methods, we recommend the TerraOnion MODE which requires no soldering and is compatible with common bin/cue formatted game back-ups.
The Saturn’s internal battery is quite fragile, so to ensure nothing happens to your internal game save files we recommend performing an FRAM mod.
There are many cheap cable-based solutions for converting the console’s analog video output to HDMI but since we’re building the ultimate console, we recommend you pickup up a Saturn SCART cable and an OSSC to upscale your image.
As far as extra accessories go, we'd also buy an mClassic. The mClassic functions like something of an algorithmic filter for game consoles. The unit is placed between your HDMI output cable and the TV’s input port to reduce aliasing and video noise.
We can’t legally tell you where to procure pirated Sega Saturn games. Though we’re sure our friends at Archive.org would love to be of service. We recommend NiGHTS into Dreams, Panzer Dragoon Saga, Radiant Silvergun, Guardian Heroes, Shining Force III, and Sonic R.