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This stage was arguably first reached by Goku in movie #2 as he fought Lord Slug. He didn't appear to be a Super Saiyan then, since his hair had a black tinge to it.
Officially, Goku went SSJ1 for the first time in the Frieza Saga, after Frieza killed Krillin.
Physical description: Increased muscle mass, and long blond hair that stands on end. Occasionally accompanied by a yellow wave, or lightning.
I personally think Goku achieved this stage in movie #5, when fighting Coola. In movie #9, Gohan was told by Goku to go SSJ2, which he did in order to kill Bojack and the rest of his crew. This level is incredibly more powerful than SSJ1. SSJ1 was used quite frequently in movies #4-9, but SSJ2 had more immediate results. SSJ1 proved inefficient in stopping Bojack's crew, and when Gohan reached SSJ2, he easily overpowered the invaders.
Physical description: Greater muscle mass than SSJ1, and a few more inches of blond hair. Occasionally accompanied by zapping silver lightning.
Goku first achieved this level during a fight with Majin Buu. This is the most powerful level of Super Saiyan achieved in DBZ. Majin Buu could overpower SSJ3, but this level did destroy Fat Janenba in movie #12. SSJ3 was also used in Dragon Ball GT, but Goku couldn't hold it due to his little body's lack of strength.
Physical Description: Goku's physical appearance is more lean and menacing looking, mostly in the eyes. With about 4 and half feet of flowing blond hair and a larger muscle mass makes this an optomum achievement in DBZ.
Only Goku and Gotenks have achieved this level. None of the others ever achieved it, although there is some speculation that Vegita achieved this level but that was only when he was being controlled by Baby.
This is the highest level of SSJ a Saiyan can reach, although there are rumors of a SSJ5, they don't exist, well not in DragonBall/Z/GT anyway, if you hear otherwise you are probably being lied to. I want proof before you send me an email telling me how wrong I am, somebody send me a picture and I'll be satisfied. This rumor was started because of some fanmanga that had this character and most likely was drawn, these pictures are not the works of Akira Toriyama but just some fan. Back on the subject, SSJ4 gives it's achiever two benefits not given in the other SSJ forms, if a Saiyan somehow has lost his or her tail (like Goku for instance) they can regain it by achieving this form of SSJ. In Goku's case the "Times 10 Kamehameha" can also be used in SSJ4.
Physical description: Although Goku was wished by Palif to become a child again, in SSJ4 form, he has his normal adult body with a bit more muscle mass. His whole body is covered in red hair including his newfound tail, and his eyes are red rimmed. For some reason his hair (On his head) is red at times and to this point I don't know why, if anyone knows please tell me.
Were-Monkey (Oozaru)
When a Saiyan stares at a full moon, he/she will change into a 40-foot tall, monsterous ape called a Were-monkey like in Were-wolf (Oozaru, in Japanese, translates to "Big Monkey"). All Saiyan (excluding Goku and Gohan) will be able to control themselves during this stage (although in Dragonball GT, it is implied that Vegeta couldn't control himself in Oozaru form, but Bebi could.) It doesn't matter which full moon they look at (in Dragonball GT, Goku turned Oozaru by looking at the full Earth. And, Vegeta had the ability to create a pocket-sized full moon when he first arrived on Earth to fight the Z-Warriors whom made him turn into the Were-Monkey.)
A Saiyan must have a tail to be able to turn Oozaru. If the tail is cut off, they revert to normal. If the tail is pulled out by the roots, the Saiyan cannot turn Oozaru, unless they reach the SSJ4 form.
Ougon Oozaru (Golden Were-Monkey)
A level that was achieved by Goku and Bebi-Vegeta in Dragon Ball GT. This is the most powerful form any Saiyan can achieve, demonstrated by Goku in DBGT episodes 38-40, when he swatted Bebi-Vegeta all over Planet Plant (Bebi's recreation of the Tsufuru or Truffles in the American version home planet.) The main physical differences with the Ougon stage, are that the fur is yellow instead of brown and it is alot bigger, more muscular, and most likely stronger than the other.