Actually, if you want to get technical about emulation and ROM piracy laws (and I can link this later if anyone needs it, I just have to find it again), it's completely illegal to have any ROMs on in your possession regardless of whether or not you own the game.

However, the exception is when you made the ROM yourself. If you take your own copy of the game and make your own ROM with it, then it's legal. The sad thing is that most people don't have the hardware to do this, especially with arcade boards and cartridges.

But what's a guy to do when the game isn't released in his country or it's so old he can't get ahold of it anymore? Well, I can't say what I do, but it may or may not be legal.