I have to admit, I haven't tried any multidisc Saturn imports. My Panzer Saga, Enemy Zero, D, etc. are all the domestic versions. Modding a Saturn's not too difficult with a soldering iron, though, and neither is a Playsation. If you're into Playstation or PS2 imports, I'd strongly suggest just getting a Japanese PS2. They're pretty affordable, and a lot of the games that experience early compatibility issues were redone in the PS books series with that fixed, such as Vib Ribbon.

Sega CD does have regional lockout, and though there are cartridges that you can use to circumvent it, they're not really universal for all games. An import unit's not too pricey, though. As far as Genesis imports that are really worth tracking down go, the most popular games are games like Alien Soldier or anime-based titles. I can recommend some I like if you'd want, but it's not the most exciting system for imports, and many of the good games you can get on collections (like Golden Axe III or Alien Soldier) that are on other systems for dirt cheap. Sega CD has a few titles such as Cosmic Fantasy 1 & 2 (which are also on Turbo CD) and some shooters that are somewhat popular for importing, but again, Sega systems were never really import darlings until the Saturn.

One Famicom game I really like, though, for anyone who's into those games is Holy Diver. I've had the cart for awhile, and it's a very solid, if not difficult platformer. The control and graphics have a defined Castlevania air to them, but the magic spells function more like Mega Man weaponry (or I suppose the spells on Totally Rad might be a better comparison).