dtgreene: Out of curiosity, is there anywhere I could find a detailed technical explanation of why save states are more difficult for DOSBox, and of what would need to be done to impoement them?
I suppose that emulators support a very limited set of hardware that is recreated in software. I imagine that DOSbox gives access to some of the real hardware in your machine and would need to track its state to reset it later. Say "tell the sound card to play this tone for 20 seconds; after 5 seconds you save the state, and reset it. You would expect the sound to persist but it may not because that instruction was given many cycles ago.
Constantly tracking state is quite an expensive operation given that it will be used in only 1 out of billions of cycles and it would be required to work on all configurations of hardware.
However, I do remember playing with an old nifty TSR program called "Game Wizard". I had tons of fun with it, cheating in videogames by altering the values in memory. I learned a lot about computers through it. It also helped me bypass the game check from Frontier: Elite II (thanks a lot for the horrible manual, local publishers! You should be ashamed!)
One of its features is to store and restore the contents of RAM, so you could get a similar effect to what you desire: save states. Let me know if you can track it down on the Internet. It sure was a great program.