At the New York Times, Thorin Klosowski writes about how easy it is these days to set up a fully-armed and operational retro console: all you need is a Rasberry Pi [Amazon] and about thirty minutes. Klosowski posted a straightforward guide to setting it up that even I could follow.
ROMs are usually copyrighted material; making a digital copy of your own cartridges for use on these emulators is a legal gray area and usually requires specialized hardware, but companies like Nintendo have made it clear that they consider using emulators for games without permission from the copyright holder illegal. Some independent developers make original games, referred to as "homebrew," for classic consoles, and this is completely legal.
I, for one, take out and solemnly place the original JAMMA boards beside the Pi while I'm playing the old games, just in case the licensing agents for long-defunct Japanese arcade manufacturers see me playing Terra Cresta.