Seconded, ex-sax player (long story short: lung damage from long ago caused me to have to give it up), the sax is an extremely rewarding instrument. Try a tenor and an alto and figure out which one you like the timbre of best, and stay away from instruments that are too cheap, better a half decent second hand one than a crappy new one. Start off with a #2 reed if you've never played a wind instrument before and figure out if that's good for you or if you want it heavier or lighter.

Don't get discouraged if you run out of wind quickly in the beginning, that will build up fast, and don't overdo it with practice until you've built up some lip strength or you'll end up with claret all over your nice reeds.