Which Icelandic sagas' word gave us 'saga'?

Old Norse saga simply means a story or something said, from the same root as the English say - so the epic sense the word now carries in English is entirely borrowed from the material rather than from the word.

The Icelandic sagas themselves are unlike anything else in medieval European literature. They are prose, not verse; they concern farmers and their feuds rather than kings and saints; they are told in a flat, unemotional register with almost no interiority; and their characters make jokes on the point of death. A man with a spear through him remarks that these broad-bladed spears are becoming fashionable.

They are also the reason we know about Vinland. The Saga of Erik the Red and the Saga of the Greenlanders describe Norse voyages to North America, and were treated as literature until L'Anse aux Meadows was excavated in the 1960s and turned out to be exactly what they described. Iceland also has an unbroken literary culture from that period to the present - modern Icelanders can read thirteenth-century texts with modest difficulty, which no other European language allows.