I've been doing a little bit of Google research into seeing if there is any hardware out there made for saving the progress of NES games like you're able to do on emulator save states. So far, this is what I have discovered:
It is the Famicom Data Recorder. Apparently, it worked in tandem with the Family BASIC keyboard. I don't think this worked with anything other than games like Excitebike and Wrecking Crew, where you'd save your designed boards. Plus, the interface to work this looks thoroughly non-English (go figure) so I couldn't work it anyway.
Does anyone know of any non-Japanese means of saving game progress for the NES? This is one of the reasons that I enjoy the Wii's Virtual Console, as it affords me the luxury of playing for a while and putting the game down to pick it up at a later date.