You would only use 'I saw him going...' if you added where he was going. I saw him going towards the main road. I saw him going out of the door. I know he went into town because I saw him going that way. "I saw him go," can stand alone as a sentence, or be part of a sentence which does not explain where he went. He left at dawn. I saw him go. I saw him go, then rushed to comfort his sister.

The above answer is correct, but I'd like to confuse you a little bit more by offering an alternative. Although "I saw him going" sounds wrong by itself, and would normally need a specified place, "I saw him leaving" is completely correct. AND "I saw him leave" is also correct. Then it becomes a question of slightly-different meanings. "I saw him leaving" implies you saw him in the act of leaving, but you don't necessarily know if it was completed. Maybe you saw him working his way toward the door and putting on his coat at a party, but you never saw him walk out the door. "I saw him leave" is definitive; you saw him walk out the door and close it behind him.