Emulators are perfectly legal.
Downloading roms of commercial games is not legal. Period. It is legal to back up your own copy of a game, but it is illegal to transfer that copy to someone else. So in the U.S., it is technically illegal, even if you own the game.
In Canada, however, IIRC, the only one breaking the law is the one sending the rom, not the one downloading. I think. So you're fine in Canada.
Myself, I back up my own GBA roms. Legal emulation FTW.
Lets get real, if you own the game and download it you might be doing something illegal technically but you are still not doing anything morally wrong or damaging to anyone. It is not like the RIAA will come knocking on your door for downloading a ROM

(of a game you already owned anyways).
By moral terms, downloading old SNES games for example is correct as well simply because you are not damaging anything and you would have not bought the game anyway (its not even sold for example) but it would still be illegal.
It is all a matter of reaching a balance of moral and legality, I do not condone piracy but also I don't come down on someone for downloading a rom of an old game (that isn't even sold anymore) they loved playing when they were kids.
In some countries software piracy is completely legal and to be honest it does more good than bad to both corporations and the people, people who would have NEVER bought the software in the first place (people that don't like spending much money on luxuries) and now the companies benefit from it simply because they create publicity for it by word of mouth (on forums for example) and in the case of Operating Systems, support them and might eventually end up buying software for it (for example I've seen people who pirate Vista but buy Office 2007, they would have bought neither had they not be able to pirate Vista).
But I repeat, I do not condone piracy, I feel bad when editors like the winsecrets editor post stuff that help people pirate software (like that piece on the vista rearm trick and no I'm not posting a link) and then try to look all good saying they do not condone piracy and lament how it will hurt Microsoft when they posting that article probably helped a few hundred people pirate Vista.
As for anti-piracy measures, they only make life harder for the legitimate customers, pirates don't care (who would) if they have to go around a few security measures to play a game they didn't even pay for, in fact, its kind of fun for some. This is why I appreciate games like CoH don't requiring a CD while playing when the CD doesn't even have any stream data the game can use. It stops as much pirates as games with complicate security measures (that is to say it doesn't stop anyone) and gives legitimate users a breath of fresh air.
I'll just end saying piracy is NOT the same as stealing, it is however illegal, I do not condone it but I certainly think people should in some cases balance moral over legality. Legal systems are stupid and honestly, the US one is even more stupid.