Borderlands – How is a Borderlands 2 multiplayer game hosted

On the main menu, you will have a Select Character option. That lets you switch the active single player save. Once chosen, select Continue.

If you join another host's game, you can also choose which of these saves (characters) to play as in the first screen it shows you after you connect to the server, via the Select Character menu option.

Any progress in single or multiple is saved automatically per save. If you played co-op on the first save and progressed through the missions with others in co-op on their save (mission progression), any you complete with them will be saved on your character and you can't "go back" without creating a new character.

See How does mission progress work in multiplayer? for a description of how MP progress works when playing on other's hosts.

The spawn location after exiting the game and re-entering is sort of based on the save point locations. Some are valid for game restarts; others aren't. It will spawn you next to the most recent one that is valid.

I don't have the exact rules figured out for which are and which aren't. But take into consideration that there are several "start of the level" points. So which should it choose? And since not every level has a New-U machine, or since maybe you got to the area but didn't find the New-U, it can't spawn you at one of those every time. Or maybe you were playing at one, then someone joined, walked by a spawn point further back, then you exited before getting to the next one. But maybe that save point wasn't a valid spawn location. What if you're in another player's online game in a zone you haven't accessed yet in your own game; where should it spawn you when you go back to single-player then? It's not going to spawn you so you are stuck in a zone out-leveling you so you can't fight your way to a New-U station.

I haven't tested to figure out the exact rules for how it picks them yet. But feel free to edit this answer once we do — if we feel it's important enough. I'm not sure if I think it's a big deal; most areas don't take that long to fight/drive through unless you're under-leveled for them.

In summary, yes, it is by design that you don't always spawn at the exact last save point you walked by; but it isn't completely random either. It spawns you at the most logical point based on a spawn-point rule engine of some kind.