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1) Different profiles for different games.
When you switch games, it would be great if PCSX2 loaded a profile for this game, you created.

2) Feedback when saving state.
Right now, in 0.9.7 you do not get any feedback whatsoever on the emulator screen if you succesfully saved a state. The only way is to look into the console, which is a little inconvenient. Some kind of sound or graphical feedback to indicate sucessful saving would prevent people from quitting to early, breaking their save.

For the first one theres this
http://forums.pcsx2.net/Thread-PCSX2-Profile-Manager
as for the second let the pcsx2 coders decide what to do

You can't close the emu before the saving process finish but it's not a bad idea

2) Currently you get an error message window if it failed, hope that's enough

Continue here if anything:
http://forums.pcsx2.net/Thread-Emu-suggestions