Turbocharger (Garrett) @ 69,000 miles, replaced with Mitsubishi turbo from a Saab 9-5.
Head gasket.
Some sensor or valve (can't remember which one)
Thought I was just sorting out a used car, but I understand that all or most Saabs have the same problems mine has had. DIC and head gasket were replaced by previous owner. Local independent Saab shop did both jobs and actually repaired my head gasket leak for free even though the original repair had been done for the previous owner.
On the good side, the car handles surprisingly well and is fast as stink. On the street I've beaten late-model Mach 1 Mustangs, and I've put the car on a road course track (with a set of sticky Kuhmo's) to test the handling. It has the usual understeer you'd expect for a comfy FWD sedan. Some chassis stiffening is in order, as are bigger brakes.
Mine is a base model, with cloth seats and manual heat/AC. Still a very nice and comfy car. Ergonomics are great. I'll admit that I'm an aggressive driver and have put a lot of miles on it, but that's what I bought it for.
If anything else breaks though, I'm trading it for a '95-'97 XJ6.
Is your 9-3 an SE, because the SEs have a metal head gasket, that shouldn't need replacing, but some Saab's came from the factory with loose cylinder head bolts causing leaks. I found this out from a Saab master mechanic. So I ended up re-torquing the bolts on my SE and the problem went away.