to answer some of the questions ...
VMU (Visual Memory Unit) is like a memory card. The difference is that is has a small LCD on it. Some games that have mini games (eg: sonic) will make use of this (sorta like the tamagochi thingy). Also for most games, they have graphics displayed on the VMU as you play the game.
It's not a requirement for all games. But if you play games like sonic, sakura taisen, etc, and have mini games that has to be played off dreamcast, get a VMU instead of regular memory
Note that if you play mini games on vmu, the battery will drain quite fast. However, you don't really need to change the battery unless you want to play mini games and keep the time setting on the DC unit (the save file will still be there although you are low battery, etc).
as far as multiple save game on a vmu -- most games don't support this. I assume it's mostly because the memory management would be too hard then. Also, on some files, you can choose which memory to save the game to. Again, it all depends on the game.
i don't play kids games, so i don't know much ... sonic is pretty good, but may be too confusing since that blue guy just run too quick to keep your eye on. other than that, rayman is also a good game. or just consult TallGeese's first post as usual
and yes, the broadband adapter is a gold if you can get your hand on one for cheap
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