So far it's only 2 that I've noticed. Sega Rally and Nights. Sega Rally (US Version) will freeze after awhile. Nights (Japanese version) with the Codes on doesn't boot at all at least for me Nights doesn't boot. Doesn't matter what the codes are in either, it either freeze or won't boot at all.
http://www.cheatchaser.com/saturn/n/nightsintodreams.html This is where I got them. They seem to all be the same. The Sega Rally codes are built on to the cart.
I only had the master code, unlimited time and unlimited boost codes. All 3 caused the game to not boot up.
I'll give them a shot, I'm bored atm. No problems for me. I tried them seperately and I played through the Arcade game with all 3 on. My AR is 2.01 in a V-Saturn with the US Sega Rally. Another edit I have Unlimited time but not the boost code.
Maybe the AR has a problem that only shows up with these 2 games. That or the console might have a glitch that only happens when the AR changes the coding the little bit each code does. Just a wild guess here. Most likely wrong. Try another copy of the games and/or another console. If the errors still show up, then it's the AR being problematic.
As sonicdude10 said, having a problematic action replay is very likely. More specific, several early models have many issues, including hardware failures. Which model do you have? Also, have you tried to update it's firmware?
It's likely a 2nd or 3rd run US Saturn. The MFG date is 1995 and Buttons are oval not round. I have noticed for some reason this Saturn is VERY picky about loading my copy of nights, if there is the slightest speck of dirt on it, it won't read the disc. ONLY game it does this with.
I'm was referring to your action replay, if it is an early model it is very possible to have hardware issues. Later batches were more stable. In any case, you should try your action replay on another saturn, try all the possible combinations to see if the problem is present on other saturns etc. As for updating your action replay, try this compilation: http://www.rockin-b.de/saturn-rb-all-stars.html
It was pretty damn obvious you were referring to the Action Replay and asking which version and firmware he has, lol.