For me, it very much depends. I appreciate it if a console port of a shooter allows me to select levels, because sometimes I just feel like playing a particular stage, but I wouldn't use saves for the same thing. Also, there's nothing wrong with practicing on a particular level. If you can breeze through a couple of levels just to reach the one you really want to focus on, why not? I'm not against it.
This opinion is clashing a bit with the fact that I prefer the real hardware over emulation, but like I said, I'm not against it, and I have used save states when I used to play Solomon's Key regularly. You can't continue when you reach a certain level, and puzzling out the later rooms takes time.
This is one instance where I would emulate and use save states. The first 30 rooms weren't a problem, and going through all of them, or more, just to get to the next one and polish the technique wasn't unpleasant, but extremely time consuming. Also, I like hitting all of the bonus rooms when playing "regular way". There was a period when I would use MAME save states to learn the later layouts and try to figure out remaining extra rooms.
Also, ever since I bought the Everdrive X7, I can't recommend its snapshot save feature enough. It's not perfect and doesn't work for every game in every situation, but it's great for games which either don't support save states at all, or like some RPGs, allow you to save only in certain spots. I ususally play before I go to bed. The save feature is perfect if I want to continue the next day. With original games, I'd just leave the game paused, so I don't consider this type of use cheating.