It really depends. If it is a newer game like a DS game, I usually go out and buy the game because otherwise it is considered piracy.
However, if the game is a GBA or GBC game that is no longer sold or doesn't even have the hardware sold any more, I emulate it because there is not really any other way to get it. I could get it on eBay, but it wouldn't be profiting Nintendo, therefore it would be just the same to Nintendo if I emulated the game.
So, DS no, Gameboy yes.