Emulation in and of itself isn't strictly piracy. The theory goes that the hardware required to run the actual game (read: the console) is under copyright protection, but because the software being used doesn't utilize the components that are patented then it doesn't fall under that catagory.

What IS illegal however are the use of BIOS files from the consoles if you don't own the console with that BIOS version, and the use of ROM's if you don't own the game.