Congrats on grabbing a Saturn. It's one of the coolest consoles I've ever owned next to the Cube.
Nights shouldn't be hard to find. I just got a copy a couple weeks ago from Swap USA for 10 dollars and the clerk even offered to throw in the 3d controller, which I already have so I declined.
As for PDS, E-bay is probably your only hope. Unfortunately, the prices are through the roof on this game, coming close to 200 dollars on some auctions. These are usually mint condition copies with all the goodies, but I doubt you'll have much luck on an opened copy because of it's rarity.
Other rare Saturn games that may present a challenge in obtaining are Burning Rangers, Shining Force 3's first scenario and Guardian Heroes (God, I wish I got this game when I had the chance. It's the coolest sidescroller I ever played).
Outside of those Saturn games and a couple of others, Saturn games generally are not too hard to find locally. Just check the used games shops in your area that specialize or carry lots of stuff for dead consoles.