The problem with 'save wherever you want, whenever you want' systems is that it kinda detracts from the game experience, since you're essentially invulnerable. It takes away the challenge and feeling of accomplishment, turning a game which is supposed to be an adrenaline rush into a leisurely walk in the park.

With checkpoints, you always have to be on your toes, because you simply don't want to die and be sent to the previous checkpoint - that alone adds a level of tension which is quite important, I feel, in any game. What J T mentioned is actually a good way of doing it: allow someone to suspend the game, but only allow that save point to be reloaded once.

That said, I do hate games which have checkpoints spaced out too far apart.

Anyway, I suppose it also depends on the type of game. For RTS games, for example, a checkpoint system obviously doesn't work.