All the files generated by Snes9x are compatible between platforms, except for the extension of the freeze files. The only one difference is that 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 (.cht) are common between Snes9x and ZSNES. RTC files (.rtc) are common between Snes9x and bsnes. SRAM files (.srm) should be common among all SNES emulators.