Saturn version is better, as it has a couple of extra bosses. Other than that they're basically the same though. There isn't really any significant difference in animation, etc, although it seems to me that the Saturn version's sprites are a tad smaller and you can see a bit more of the area you're in at one time. The music also sounds somewhat different, but the tunes are great either way.
edit - although the PSX controller feels a little bit better for MM type games, IMHO.
