[thejeff]

It depends on what kind of testing you mean. Most often on these forums it refers to one of two things, either a factual question or testing a strategy for MP.
The first is simple, start up a new game, create the situation and see what happens. Usually you use a mod to avoid having to spend time researching etc. (There's a Debug Mod around that makes all spells level 0, and a cheap wish, GoR and an ubercaster).
The Murdering Winter question could be easily tested this way.

The other generally involves playing out the expansion phase for various tweaks of your theoretical strategy. For anything much beyond that the AI doesn't really match the MP experience enough to be useful.

Neither of these really require reloading save games.

For testing particular tactics, as LDiCesare suggests, reloading is useful. And not that hard to do, just copy the savegame. I've done it for some tests. And I keep meaning to set up an automatic version so I can try to capture a couple of bugs.

Personally, even for SP, I'd keep it to actual tests, separate from the actual game I'm playing. Otherwise it's too easy to try a tactic, have it fail, reload and try a different one, it works so keep going. And never actually lose a real fight.
The game isn't designed for that and will lose all challenge if you play it that way. There's nothing wrong with games that are designed for that style of play. If you had to start over from the beginning every time you died in most FPS games it would be boring. Games like this (and Nethack for that matter) are designed for replayability. Every game is different, so it stays interesting.