Cart grips: GB/GBA slot, no problem. Games go in and out very easily. SNES carts not bad. It's getting a little easier, just have to remember to pull at a corner and not wiggle. NES -- grip of death. Again, just have to be careful and not pull it at funny angles. Hopefully this will get better.
Controller: Again, comfortable, in my opinion. I like having the Home button for the on screen menu as opposed to hitting down and Start on the SNES pad. The fast forward button on the upper right comes in handy too. Remember you can button map any combination of buttons to any controller you like, even the wireless controller. You can also create controller map profiles that will save to the unit.
As far as the shmups I played so far go, no problem. Just a little bit more movement when you move in one direction and stop compared to the d-pad, possibly because of the analog design. It will take some getting used to, but it's nice to have the option to use regular pads. I don't mind the clickiness of it either. I still did as well as I would with a regular controller.
Cart Recognition: GB and GBA carts recognize fine. All of my SNES carts have been recognized so far. The one NES game I tried (Magic of Scheherazade) needed a slight re-seat in the slot, but it was recognized. You don't need to put them all the way down in the slot, plus that also helps getting it out. Auto-states have also been saved on all of them, to resume where I last left off.
Save States: They take up very little space, and the Retron 5 has 1.2GB of internal storage, plus you can use the built in file manager to erase unwanted states. 10 slots are available for each game, plus an auto-save when you are finished playing.
Screenshots: Save to SD card only. Resolution is 254 x 225, not real good for showing off. Following are screenshots that have been captured by my Retron 5 and resized to 640x480 -
Axelay
Gradius III
Hyperzone
Super Nova
Pinball Fantasies
Revenge of the Gator (GB)
I thought I had a pic from Scheherazade, but guess not. I still have more to do with this!