I have the M3 Real perfect bundle (w/ the GBA expansion cartridge) and GBA games save/load just fine. However, there's 2 loading methods: "fast" and "slow". Some games work fine with fast loading, some need the other method, which as far as I know, patches the ROM in some way. You just have to experiment with each ROM and see which mode you need to use. Some won't even start, if you load them the wrong way. The good thing is, you only have to do this once. Loading options are saved on the SD card, and you don't have to do anything after the first successful run.
There's also great homebrew for the DS. I'm playing a DS version of Lemmings lately and it suits the device perfectly. :)
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