The emulators I know of off hand that have this support would be FCE Ultra GX, VBA GX, SNES9X GX, Gensplus GX, and Hugo GX. Yes the roms need to be in their own individual zip folder. You cannot zip them into one zip folder. They wont work that way. Yes your savestates will work....Just keep them in the saves folder where they belong. The only thing that will change this is a new version of the emulator, which would mean savestates from the previous version wont work with the new version.
Now a note. FCE Ultra GX, VBA GX, and SNES9X actually can utilize a higher form of compressed file support. Those being .7z files. To use and make them you need a program called 7 zip, which can be downloaded at www.download.com via there search bar function. Best yet is it's free license software.