Designing a good save system is a critical part of any game design. While I know some people vehermently think a "save anywhere" system is the only thing to aim for I do think a good checkpoint/autosave system works better in many circumstances.

Note that I see "saving" to be a different thing from "suspending". With "saving", the player saves a snapshot of the present state of the game to return to at any time. With "suspending", the player merely wishes to be able to switch their computer/console off but be able to return to their game at the same point as which they left it. Given from a game design perspective suspending is the same as just pausing the game for an indeterminate amount of time I think that (barring any techinical issues) suspending should be a feature in absolutely every game.

Saving however is a different matter, as from a game design perspective it is the same as giving the player the ability to rewind time to any previous point. This invariably means that a winning strategy before making any decision is to save, explore all possible options and then reload to take the most optimal path. As a designer, you then have to choose whether to make the assumption that your players will (ab)use your save system. If you choose to assume your players will not save and reload every five minutes, your game will be too easy for those who do. If you assume your players will frequently save, then there's a tendency to add in "sudden death" challenges; traps that a player can only find out about by stumbling into them, ambushes from behind, sniper nests, insanely long and deadly boss fights, hazards when exploring etc.

The other gripe I have about the "save anywhere" design option is that it pushed the responsibility for saving onto the player. This can lead to problems with the player saving when they are in a "no way out" situation (such as plummeting to their death, saving with too little health, or saving when they're about to fail a mission critical objective). It also leads to problems when the player gets so absorbed with the game that they forget to save. These can be solved by a good autosave system (which I regard as a form of checkpoints), or with save points (as players tend to save whenever they see a "save" marker).

I agree with dwarfsoft that a good way to solve the problem is to have soft failure cases or to remove failure entirely. The old Lucasarts adventure games were impossible to fail (or nearly so for the early ones) and as such the save system did not impact on the gameplay.

Personally I think a good system of checkpoints or autosaves spaced out through the game combined with a suspend system and soft failure cases would be my favourite approach. If the player loses, restore them to some point not too far back from where they lost but with some of their progress still intact (i.e. in RPGs you could still leave them with gained experience points or equipment, or in action/adventure games leave the puzzles solved).

Although if you want to do this through a save point system, then for the love of the goddess of mana don't have uber-long unskippable half-hour movie sequences before tough boss fights. That's just damned annoying.