I've never had a problem with the Activity state, but then I always shove data in an SQLite database anyway, which isn't hard. Is it really that troublesome to implement?
No, but it get's on my nerves that Android always says "Hey I have something in my API for that", and I after a (short or longer) while I realize it doesn't work as expected.
I most often just use Json (because with Google Gson, you can just serialize it into an object without boilerplate).