<p>Having just witnessed <a href="http://www.youtube.com/watch?v=PEnfpQa3nrI&amp;feature=related" rel="nofollow noreferrer">Sound Load technology</a> on the Nintendo DS game <a href="http://en.wikipedia.org/wiki/Bangai-O_Spirits" rel="nofollow noreferrer">Bangai-O Spritis</a>. I was curious as to how this technology works? Does anyone have any links, documentation or sample code on implementing such a feature, that would allow the state of an application to be saved and loaded via audio?</p>

Its the same old thing used in ZX Spectrum era. You load programs/games from tape.Only the sound quality and the filters are probably better.
In my opinion something like Bluetooth or WiFi is better. You can also send files that can be put on some storage and then load them. I find these methods much easier than sound because if there is a lot of noise around you cannot do much.
It is just a conversion of data to audio and then back from audio to data.
Search for Zotyocopy and Copy86M on google - these are the utilities used for saving a game to tape after loading it into memory on zx spectrum.