As usual, in a multiuser environment to avoid undesired changes to the software it should be installed as root.
Unpacking the SDK as root and then running as a normal user you receive this error
### WARNING: Cannot write user data file '/home/diego/.android/SDK-1.1/userdata-qemu.img'
if you check file permissions you can find that you can write to ~/.andrid/SDK-1.1 and userdata-qemu.img has been actually written.
So, what's the problem. Using strace to find out, we can see this
open("/home/diego/.android/SDK-1.1/userdata-qemu.img", O_WRONLY|O_CREAT|O_TRUNC|O_LARGEFILE, 0600) = 3
open("/opt/android-sdk-linux_x86-1.1_r1/tools/lib/images//userdata.img", O_RDONLY|O_NOCTTY|O_LARGEFILE) = -1 EACCES (Permission denied)
close(3) = 0
write(2, "### WARNING: Cannot write user d"..., 109### WARNING: Cannot write user data file '/home/diego/.android/SDK-1.1/userdata-qemu.img': Permission denied ) = 109 unlink("/home/diego/.android/SDK-1.1/userdata-qemu.img.lock") = 0
exit_group(3) = ?
qemu is reporting the wrong error, and the root of the problem is openning /opt/android-sdk-linux_x86-1.1_r1/tools/lib/images//userdata.img for reading.
Here is how to fix it
$ sudo chmod a+r /opt/android-sdk-linux_x86-1.1_r1/tools/lib/images//userdata.img
$ sudo chmod a+r /opt/android-sdk-linux_x86-1.1_r1/tools/lib/images//system.img
and everything will run smoothly.