Emulation it's self is a legal grey area I havn't heard of anyone actually getting into trouble for an emulator by it's self. That is not to say it is legal but unless you try to sell the emulator there is nothing anyone can legally do to stop it.
How people get the games to play on the emulators is another matter, many of the oldest games (pre SNES) were made by companies that no longer exist etc so once again there is a legal grey area around those games there is next to no chance of of anyone caring even if it is not strictly legal, and in some countries as long as you own a copy of the origonal game (or other peice of content like movies or music) you are allowed to create a copy for your own use so that would be legal depending on where you live, think about it like riping a CD or DVD for your own use. For disc bassed systems like the PS2 etc it is possible to use a legit copy of the game just like a real console.
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