The loading equivalent to a computer/video game's quick save feature. Quick load enables a game's player to load a specific saved game with the press of a button. Good if the player doesn't want to load up the game's menu to reload his/her game to save time, avoid a bad interface, etc. This feature can be commonly found in the single player mode of many first-person shooters such as Doom, Quake, Half-Life, etc.
More recent first-person shooters primarily oriented toward multiplayer (Unreal Tournament, Quake III Arena, Starsiege: Tribes) tend not have this feature (nor quick save), as the goal of the games is generally not something as involved as a single player mission might be. Compare a frantic, time-limited Quake III Arena deathmatch to the lengthy, multi-objective mission in Half-Life. Even in Quake III Arena or Unreal Tournament's single player mode (which is basically pratice for actual multiplayer), there's no real point to saving a game in mid-battle with a bot.