Yeah, Shenmue was a huge, multi-year project. It was originally supposed to come out on the Saturn but after SEGA dumped that console development was switched to the Dreamcast. In hindsight definitely for the best as the DC was a much better console. I love the Saturn (as I inexplicably love all failed consoles from that era) but they really @#/? up the architecture on that thing. It was capable of great things but only if you were a top level game designer - and most of those were working on games for the PS1 and N64, as the Saturn had already more or less died by mid-1996.
From what I remember Shenmue didn't return much if any profit, so it's a bit of a surprise they were even allowed to make Shenmue II. I think on the original Shenmue there's a Saturn console in your 'house', and you can play Space Harrier and Hang On if you win them at a raffle somewhere. Little touches like that are really cool.