Research the X-Arcade at all and you'll find out about the input lag, the slight delay between when you hit your buttons and the game responds onscreen. In truth, this lag is so slight that for beginers, most fighting games will not be noticably effected. For instance, I would not hesitate in bringing out my X-Arcade solo for some Soul Calibur 2 action, and I know I'd do fine, even gaurd impacts. But the lag would always be there, it just matters more in some game than others. No 3rd Strike for this'un, ok? Plus all the extra money you'd have to put out for adaptors.
MAS could build you a good stick, but chances are you'd not be happy with their service and bump this thread in two weeks telling me that somebody stole the MAS guy's car again nd now you're stick is delayed another month. A 3 console MAS would still be pricey, and the Xbox support, via their own adaptor, would still be flakey. Adaptors are ultimate evil, BTW.
There's some PS2\Xbox SF:AC stick being put out, right around now, I think, that garnerd an undeserved thread a few weeks back. This stick is made by Nuby, and will likely be of poor quality. But hold that thought a second.
I also don't approve of this stick, but Pelican's Arcade Pro (or whatever) is big, wooden, and out of the box it has three console support. It's also the cheapest option, I think. What I dislike about it is the looseness of the stick, the feel of the buttons, and the severly curving arc in which the buttons are arranged. However, everything is standard size, so it's a snap to put higher quality Happ or even Sanwa parts (no top-mount sticks) in it. Doing so would eliminate two of my three complaints. The same will likely hold true for the Nuby SF:AC stick, but I've never actually seen one of those, so I can only assume.
Now, you mentioned Saturn support; now it gets tricky. No storefront is going to give you Saturn support except MAS. Indeed they could build you a PS2\Saturn\GC\Xbox stick; you could expect to pay over $200 and wait over a month. Some would say that dealing with them is serious die rolling, but I still like them.
The cheaper but harder thing to do is have a stick built with no PCB (what makes it a PS2 stick or Saturn stick) inside. Then you have a PCB built into a box per system, what we call a project box sometimes. In this manner, the arcade stick that you build can connect to any system, probably ever, that you hack a PCB box for. One might even think of building the Pelican PCB into one box, hmmm. It's going to take a fair bit of wiring, more than I've personaly handled on my own.
So it's time to seek out the builders at the Shoryuken hardware forum, of whose example I have tried to follow, and see if one of them is taking orders right now. This task should be no problem for most of them, only time is. You could also choose to learn how to make the devices yourself, in which case SRK (as Shoryuken is shortened) is still an invaluable resource. Don't be intimidated, the work is quite simple; delicate at times, but quite simple.
Perhaps your journey starts now, as mine did one day, possibly due to revelations about the X-Arcade, possibly the first time I played Soul Calibur with an Agetec "Green Goblin," or possibly even the first time I found an unattended Street Fighter II machine and got to play it myself (I picked Blanka, as I'm sure many of us did). Send me letters, won't you?