Its possible the rom was corrupted during transfer - say if you used GPDrive to put it on and unplugged the GP32 without first telling windows that you wanted to (in the "USB Devices" bit that appears in the system tray), it may have left some of the file out or something - though I grant that's unlikely considering how big roms are (they tend to be transfered straight away). This could also happen with an SMC reader (just always tell windows to either eject the card to unplug the drive before actually physically giving it or the card the yank).
There's also possibilities of there being bad sectors on the card. Go into Pacrom (hold SELECT as you turn it on, choose Pacrom, assuming you;re on MultiFw 2 - which from the presence of code when it crashes is likely), go to tools, and choose to check the SMC. Then retransfer files if it finds any bad blocks/sectors/whatever.
I suppose its possible the formatting on the card could be messing with you (it has been known to do that with me occasionally if the card is not formatted through PC-Link, but only with OS9x and that was ver 0.2), but I somehow doubt it.
Just as a final thing, try an unzipped rom of Sonic 1, just to be sure its not just that you;re trying to run games that don't work; there aren't *that* many that completely fail, but they do exist. Sonic 1 definitely works, and with sound (if you turn it on at least) on top of that... so that's good

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For SNES as said, turn sound on after loading a game... then go to the menu again (hold select, probably, unless you've fiddled it over to config 2) turn sound on, then - remembering first to save settings for all - hit the "restart game" button, or go to the rom selector and manually do it if that doesn't work.
Bear in mind, that even at 166MHz, performance with sound is actually good (as opposed to tolerable) only in a few games - Donkey Kong Country, Lufia 2, Live a Live, Radical Dreamers (if you can get into the game, which takes some getting used to, and has to be done every time you open the rom or your savestates will seem to be corrupt and won't load properly) - being the ones I can think of offhand.
If the emus piss you off though, and don't seem to be doing what you want them to, why not give them a break for a while, and try ScummVM, GpDoom (v10, iirc), GPCinema, and possibly Beats of Rage for a little while... it'll reassure you that the unit is capable of its own stuff as well as pretending to be other systems
