SRAM files (.srm), freeze files (.frz), cheat files (.cht), movie files (.smv) are compatible between platforms, except for the extension of the freeze files. The only difference is that the Mac port puts the thumbnail screenshot into the resource fork of freeze and movie files, but the resource fork is usually deleted or separated when you send the file to your friends who use a PC.
Cheat files are common between Snes9x and ZSNES. Freeze files are different, but Snes9x may read ZSNES freeze file (.zs*.) Rename the extension of ZSNES freeze file to .zst and use 'Defrost state from...' in 'Option' menu.