What works
During the first run of this emulator wine sometimes crashes but always seems to run stable afterwards. Both the SSF.ini and the Setting.ini config files are created. I ran "Nights into Dreams" with no problems and the Bilinear Filtering option worked fine as well.
My Analog Gamepad was properly detected and easy to configure in the Options tab. After selecting a Bios (does not come with download package obviously for legal reasons) allowed me to select the language and the system clock. Easily recognized my Saturn Game in the physical cdrom.

What does not

The Fullscreen option sometimes crashes wine and it does not stretch to the full size of the users monitor.

It also doesn't seem to exit gracefully and I am usually forced to issue a "killall -9 SSF.exe" to completely kill the program.

What was not tested
Nothing that I am aware of. :-)

Additional Comments

I tested this on a Ubuntu 8.04 (Hardy Heron) on a 32 bit system with the Default Depth set at "24" in the X.org conf file.

This worked out of the box with no modifications but I am giving this a rating of gold since I initially installed Microsoft Directx 9.0c November update as described here:

http://howto.landure.fr/gnu-linux/install-directx-9-0c-on-linux-using-wine

SSF can not ride ISO, BINS, MDF, NRG files directly so you either have to manually have a Sega Saturn CD in your physical drive or have it virtually mounted. This can be accomplished via 
CDEMU (http://cdemu.sourceforge.net/). Make sure to actually mount the file system (i.e. mount /dev/sr1 /media/vdrive) and put it in /etc/fstab. This way it should be automatically detected when you configure wine for the first time but you may have to add it manually. Then from SSF the virtual drive will be included in the Options section as part of a drop down list. This makes playing easier with less wear and tear (and noise) coming for your computer.

Another point I will add about the bilinear filtering. It does work but for some strange reason the option has to be unselected when you start up the game and then you have to change it during the game! This is very bizarre behaviour. This is set in your "Setting.ini" file so I usually delete those lines in the file before opening and then changing to bilinear filtering once the application starts up. If anyone knows a workaround for this clumsy process please let me (us) know.