The problem with Sega is what Himu already mentioned - they released the Sega CD, 32X and Saturn way too quickly one after the other, confusing the user base (when it was first announced I thought it was like an integrated Genesis/32X/Sega CD unit). They then overpriced the Saturn in the US and alienated Kay-Bee Toys which refused to carry it, or its games. In Japan the Saturn was really successful, though...it was just horribly mismanaged in the US.
The Dreamcast was a huge clusterfuck, though, and that's what destroyed Sega. The Saturn had a healthy userbase in Japan, even if it was a flop in the US, so when Bernie Stolar announced "Saturn is not our future", he basically killed that console prematurely in favor of the DC. By the time the DC came out, pretty much nobody trusted Sega to stick with a piece of hardware for a five year lifespan (fears which were to prove true).
If Sega had stuck with the Saturn for an extra year and a half, given it strong support, and THEN released a new console, I think things would be different in the gaming scene today. As it is, I can't think of a single Sega fan who isn't totally cynical about the company.