Important things that are not saved in savefiles:
weather: as said by kapuhy, weather conditions are randomized on game reload, with the implications he already noted.
AI unit damage: reset to zero. Never save before you have finished an attack and you are credited with the sinking of damaged ships.
AI unit ammo: depth charges, gun shells, torpedoes, bombs outfits, no matter how many of them were already spent, get reset to default numbers. Saving in the middle of tense destroyer(s) vs. U-boat action, when many depth charges have already been dropped, is not a good idea unless you want to give the enemy an extra ammo bonus.
AI sensors / crew fatigue: on game loading, units within rendering radius are more diligent than usual, and they immediately perform an in-depth check of the environment around them with all their sensors. Never save when you are too close to enemies, no matter how invisible you think you are, or how forgiving had been the AI until that moment. You would risk to mess up your long-planned surprise attack and, in the worst cases, to find yourself right inside a mouse-trap.
