That would be useful for those Deco cassette games. Man do those take forever to load.
However, for most other games I just see it being more of a hassle. Because if the game messed up, locked up, or otherwise went stoopid, it would keep returning to that state until you manually deleted the state file.
You MIGHT be able to mostly accomplish this by mapping your exit button to save state as well, and then adding a "quick load" button somewhere that you could press as soon as you launched the game.