Not particularly. Emulators are legal because they're freeware-- a program created by someone, not-for-profit.
ROMs are a different story. They are games that are ported without permission to an emulator. Basically, instead of buying the game, you can play it for free on your computer. So in other words, it's illegal because you're screwing the company who made the game out of their money. The ironic truth is: very few people actually care.