crap!
So I was playing Kirby on my PSP and I was at the last boss in the final battle (that vamp guy) and I had it saved, but when I went to load it instead I pressed the button when I was on the line above "load" instead I saved the game at the start up screen. I just had to vent my anger.
That'll teach you not to cheat and save state in the final battle!
In all seriousness though I think that anyone that has played with emulators has had that experience. I did the same thing when I was half way through Super Mario RPG with many hours play. I learnt the hard way that if it is possible (like it is with FCE Ultra) it is best to save to at least a couple different files. Unfortunately with NesterDC there is only one state save so if you accidentally hit state load at the start of play you are up shit creek. It hurts.
...
Along time ago i did awesome on Pokemon and I had played for like an hour and a half straight and I caught like 5 new Pokemon and I forgot to save and I shut it Off, kinda similar Dillemma but hey It hurts Doesn't it.