The story of Sati's sacrifice - When Lord Shiva came under the influence of Saturn, he experienced the loss of Sati, the first incarnation of his wife. The story of Sati goes as follows:

Daksha, the son of Brahma, prayed to the Mother Goddess that she be born as his daughter. She agreed on the condition that he would never displease her. He agreed and she was born as Sati. When Sati matured she fell in love with Lord Shiva and married him against her father's wishes. Daksha disliked this alliance as he felt that the ascetic Shiva was not good enough for his daughter. Daksha expected Shiva to pay obeisance to him but Shiva refused to do so as he was the supreme god & most revered of all. According to Vedic tradition if Shiva were to venerate Daksha who was on a lower in stature to the great Shiva, the former would be cursed forever. Daksha's ego did not allow him to recognize the true Shiva. Lord Shiva refused to pay respect to his Father-in law & thereby creating an ongoing feud which caused a lot of sorrow to his wife Sati.

Daksha decided to avenge this humiliation by organizing a yagya in Kankhal near Haridwar. He invited all Gods in heaven and prominent men on earth, with the exception of Shiva and Sati. When Sati heard that her father was holding a ceremony, she wanted to go despite not being invited. Shiva cautioned her that only misery would result of her going uninvited but she was adamant.

Sati demanded an explanation from Daksha as to why she and Shiva were not invited. Daksha said that Shiva, a person who dressed in rags who adorned himself with ashes, skulls and snakes and frequenter of graveyards had no place in this elite gathering. Unable to bear the insult Sati proclaimed that she is giving up her life and in front of an astounded audience she stepped into the sacrificial fire of the yagya.

When Shiva learnt of this, he was inconsolable and in his grief destroyed the yagya and all Daksha's army. Daksha's head was also cut. Then Shiva held aloft Sati's limp body and began the Dance of Destruction or Tandava Nritya. This is the dance that heralds the destruction of the universe.
Guests approached Vishnu who was also present at the ceremony. He realized that it was too late to reason with Shiva. He let loose his chakra or disc like weapon and cut up Sati's body into pieces. The various parts of her body got scattered all over India. Wherever a part of Sati's body fell people built a shrine to the Goddess Shakti, whose incarnation Sati was. Vishnu consoled Shiva and requested him to give back life to the dead. Shiva did so but insisted that Daksha had to be punished for his pride. He cut off a goat's head and attached it to Daksha's lifeless body before making him alive. To this day Daksha is depicted with a goat's head. The ceremony was then completed.

Shani was said to have create all this mayhem in order to punish Daksha for his pride and created inconsolable sorrow for Shiva. Shiva went to Mount Kailash and lived a life of a recluse and ascetic till Parvati the next incarnation of Sati came into the life and brought him out of the sorrow.