Jesus did not come for those who think they don't need a Savior, but for those who know they do (I came not to call the righteous, but sinners to repentance. Luke 5:32 KJV). The first step to a true relationship with God is to acknowledge that we have fallen short of His standard and that we need Him.

Salvation is being saved from the consequences of our sin.

For all have sinned, and come short of the glory of God ...

Romans 3:23 (KJV)

But what are we saved from?

Through salvation we are delivered from the consequences of our sin, from the clutches of death, and from Satan.

Much more then, being now justified by his blood, we shall be saved from wrath through him.

Romans 5:9 (KJV)

But what are we saved to? 

The Scriptures speak of many benefits to being saved. Ultimately though, we are brought out of our sin and into God's light.

Therefore being justified by faith, we have peace with God through our Lord Jesus Christ ...

Romans5:1 (KJV)

Which brings us to WHO has saved us? Who are we saved by?

God enacts salvation through His son Jesus Christ.

The saying is trustworthy and deserving of full acceptance, that Christ Jesus came into the world to save sinners, of whom I am the foremost.

1 Timothy 1:15 (ESV)