I like the idea of inline errors and I think eoghanobrien’s example of having them in some sort of conditional would be the way to go to assist with correct styling and also thinking about accessibility.
{exp:saef parameter="something"}
{some_field_tag}
{if error}<span class="error">That name is not allowed</span>{/if}
<label for="name">Name</label>
<input type="text" id="name" name="{some_field}" value="{some_field}" />
{/some_field_tag}
{/exp:saef}