Unlike the Playstation, nearly all of the Saturn's games have audio and/or speech recorded in Redbook format CD-readable tracks. I've tested my collection, and found that among the U.S. releases I own, only Soviet Strike and Madden 97 didn't have Redbook audio. And I haven't actually played either of 'em, so I can't tell you if we're missing out (I picked them up because the boxes were in good shape). Among the JP releases, the deluxe packs seemed to only put the intro BGM on as a Redbook track, and a couple other shmups also didn't have Redbook.
NOTE FROM DP: Our member "Melf" created a very simple "how to" for burning your game CD's to music CD's. You can get that right here:
http://www.digitpress.com/archives/arc00013.htm
Here's the list, (EDIT: Now including discs from the thread Achika linked below, EDIT 2: plus more stuff as you guys post it) :
Battle Garegga (JP) YES
Black Dawn YES
Blast Wind (JP) YES
Bug! YES
Darius II (JP) YES
Darius Gaiden YES
Dark Savior YES
Daytona USA YES
Detana Twinbee Yahho-! Deluxe Pack YES (Track 2 is Intro BGM, Track 3 is Konami theme; no in-game BGM)
Die Hard Arcade YES
Die Hard Trilogy YES
Donpachi (JP) YES (but no voice samples, rookie)
Dodonpachi (JP) (Saturn Collection) YES
Doom YES
Dragon Force YES (short goofy message only)
Duke Nukem YES
Earthworm Jim 2 YES
Elevator Action Returns (JP) YES
Fighting Vipers YES
Galactic Attack YES
Galaxy Fight YES
Galaxy Force II (JP) YES
Gradius Deluxe Pack (JP) YES (Track 2 is Intro BGM, Track 3 is Konami theme; no in-game BGM)
Guardian Heroes YES
Gunbird (JP) YES
The House of the Dead (JP and US) YES
In the Hunt YES
The Lost World: Jurassic Park YES
Madden NFL 97 NO
Nights Into Dreams YES
Night Striker YES
Panzer Dragoon YES
Panzer Dragoon Zwei II (JP) YES JA
Parodius Deluxe Pack (JP) YES (Track 2 is Intro BGM, Track 3 is Konami theme; no in-game BGM)
Parodius, Jikkyou Osyaberi (JP) YES
Parodius, Sexy (JP) YES (Track 2 is Konami theme; no in-game BGM)
Quake YES
Radiant Silvergun YES (voice and effects, not in-game BGM)
Salamander Deluxe Pack YES (Track 2 is Intro BGM, Track 3 is Konami theme; no in-game BGM)
Saturn Bomberman YES
Scorcher YES
Scud: The Disposable Assassin YES
Sega Rally Championship YES
Sonic R YES
Soukyugurentai (JP) (orig. release) YES
Soviet Strike NO
Steam Hearts YES
Strikers 1945 II (JP) NO
Street Fighter Alpha 2 YES
Super Puzzle Fighter II Turbo YES (Track 2 "Original Song 'I Want You To Know' by Sakura", instrumental version)
Thunder Force V YES
Tomb Raider YES
Virtua Fighter YES
Virtua Fighter 2 YES (Tracks 2-34) BGM
Wipeout 2097 (UK) YES
World Series Baseball '98 YES