That whole being saved thing must be important. It is a biblical term. So back to the question, "Saved from what?" It just might be that we are being saved from ourselves and our own short-sighted ideas of good and evil, right and wrong, truth and lies. We get it so wrong.
Want proof? How often do you check your foundational belief system against the Bible? How often do you look for a loophole, an end around, or some other means of avoiding the more difficult commandments of God, or the things that don't add up? How easily do you close your eyes to things the Bible says because they don't make sense or align with what you think ought to be? Left to our own devices we'll take the forbidden fruit. And we'll die.
But God has saved us from this dreadful end. He sent Jesus to fulfill all righteousness for us. And through faith in him we are saved. We may not often think of it in such strident terms, but it is true and good and gracious. We've been saved. That's a message we need to hear again and again. Maybe you know someone who needs to hear that message as well.