Emulators that run ROMs are cool too. You can get ROMs for free all over the internet and if the one you download is for a system no longer being used for development, then it is legal. If games are still being developed for your system, then you can still download any ROM you want for free, but you are required to delete it from your system within 24 hours UNLESS you actually own a physical copy, then it's all good.
I like emu-paradise and emulation-nation.
I got a GBA emulator that runs GameBoy ROMs on my CELL PHONE!!