Emulator

Game Name?
N/A

Game ID?
N/A

What went wrong?
App data is stored inside the .app folder itself which is against OSX "philosophy" and not handy.
When you update the app (what can happen quite often if you regularly follow new builds), you can't just overwrite the older app but must save before the data files inside (/Applications/Dolphin.app/Contents/Resources/Sys and /Applications/Dolphin.app/Contents/Resources/User ) then put them back after, in the new app.

What did you expect to happen instead?
This data should be stored inside ~/Library/Application Support/Dolphin/
This would make Dolphin compliant with OSX conventions as it's supposed to be that way with any OSX app.
Concretely, this would allow to easily replace the app without taking care of user data before.

What steps will reproduce the problem?

1. Use Dolphin on OSX, change settings, do game saves, savestates, add ROM for LLE audio… etc…
2. Update Dolphin.app
3. You lost everything !

Which versions of Dolphin did you test on?
All OSX versions are affected

Which version of Dolphin used to work?
None

What are your PC specifications (example: Operating System, CPU and GPU)?
N/A

64 or 32 bit Operating System?
N/A

64 or 32 bit Dolphin?
N/A

Any other relevant information (e.g. logs, screenshots, configuration
files)
This is rather cosmetic but is also very quick to fix. Beside only making the app more OSX friendly it would also make it more convenient. This is especially handy for people that are used to OSX : this is the last place where you'd expect this data to be, and you could easily delete the app thinking the data is at the usual place for apps.

You can check apple doc for more infos (see "File System Basics" : "The Library Directory Stores App-Specific Files":
https://developer.apple.com/library/mac/documentation/FileManagement/Conceptual/FileSystemProgrammingGuide/FileSystemOverview/FileSystemOverview.html#//apple_ref/doc/uid/TP40010672-CH2-SW1