As said, it's something you have to decide for yourself. Technically downloading commercial games
is illegal, and if you like to think Nintendo is god, then (assuming you believe them), emulators
are illegal too (though in reality they're not, unless they use copyrighted code like official BIOS's).
Of course with Nintendo games the morality issue get's a bit complicated with the Wii and it's
ability to download and play older games. But it's not out yet, so it's hard to speculate right now
how well this feature works and which games will be available for it (Nintendo has already stated
that not every game will be: probably just a "best of" collection).
I'd say, if there is absolutely NO other way you can play the game other than using an emulator
and downloading the ROM "for free", then go for it. But if it's still possible to buy the system
second hand (or even new: I bought a Xbox just this week because everything is pretty cheap now),
then do that instead. Of course, if you don't have the cash to do that, the choices get more
complicated again...
My motto is: if it's really good, you can afford it and it's still for sale (somehow), then buy it.
That goes for everything: not just games but DVDs as well.