I'd definitely be going the emulation route too, just as Tim says.
There's quite a few handheld devices, like the Dingoo (search ebay) and others that will run most 8 and 16bit games no problem. Dingoo even does Neo-Geo gear for those who want the ultimate sprite based experience.
Short of that, getting a pc with joypads hooked up via usb and then downloading a bunch of roms of the net is the next best thing. The collectors market has negated an easy or cheap solution to run old consoles as they were intended these days.
Another great (and legit) solution is just getting a Wii and making and buying VC (virtual console) games online. The Wii's already backwardsly compatible with every Gamecube game and most, if not all by now, of the real classic 8bit and 16bit Nintendo games are available for pittance on VC, along with Turbogrfx/Pc Engine, Neo Geo, MegaDrive, Master System and a selection of direct arcade ports.
A Wii with an arcade quality joystick or a classic SNES pad hooked up using an adaptor is your recipe for pure gaming excellence!
Rock On.