it depends on what you want to emulate.
there is such a thing as "Abandonware" and games that have entered the public domain. The first kind are only illegal to play in principle, because there is nobody who holds the rights any more. the second kind is perfectly legal to play.
Everything else that involves any kind of copyright holder who can sue you = piracy
of course still depending on local laws.
there is also the issue that some emulators require the original copyrighted OS from the device they are emulating.
you may want to have a look at: http://www.abandonia.com/ they do have a FAQ page
“It appeared that there had even been demonstrations to thank Big Brother for raising the chocolate ration to twenty grams a week. And only yesterday, he reflected, it had been announced that the ration was to be reduced to twenty grams a week. Was it possible that they could swallow that, after only twenty-four hours? Yes, they swallowed it.”
- George Orwell, ‘1984’
