Anything is good to play along with as you're starting out. Think of some songs you like and that you're really familiar with, pop in the cd and see what happens. It doesn't matter if it has saxophone in it or not. As I mentioned in your other post, get a teacher. They should be a great resource in answering this question and many, many others. Welcome to SOTW and good luck!
Agreed--play along with anything you like. If you're as new as you say it'll be difficult to keep up with much of anything aside from a slower ballad (and with them you have to take special care of your tone.) I personally cut my playalong teeth on some of the more laid back Grateful Dead and Jerry Garcia Band stuff.
Ditto the comment about getting a teacher as soon as possible. It took me months to unlearn bad habits formed when noodling on my own.
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