Playing games with consoles is one thing, and with ROMs in emulators, it's another. Personally, I find former to give me much more of an engaging experience, which I truly enjoy. With video game consoles, you usually have to use controllers to play, which is one thing that drags me into them. Holding those things into my hands and mashing buttons together is a lot of fun, if you ask me. I suppose same could be done with emulators if you have a controller plugged into your computer and whatnot, but they're not always compatible with games that you happen to be emulating, which does wind up limiting you.
As for playing ROMs within video game consoles with help of external devices--M3 Zero, for example--I'm neutral on that. You're gaming without having to pay much price, which is good, and to top it all off, you're also getting the same, exact (or at least similar) feel and experience as you would from playing with cartridge. I've been through it before, and it's honestly not so bad. Mostly, though, I try to keep myself away from downloading ROMs, as it's not exactly the correct thing to do. Usually, you'd see me using these things only when the games are no longer available in market.