To start off, let’s assume you don’t know anything about emulation.
Okay, now that the narcs are gone, let’s play some damn video games. You are morally superior to us all and can close this tab. Go forth, rich person, and pay for Sonic the Hedgehog 2 for the twelfth time in your life. If you’d like to live your life within the confines of the PlayStation Store, Nintendo Switch Online, or the Google Play or Apple App Store, I cannot stop you.
If you are a scared baby and cannot handle some gray market hi-jinx, I will direct you towards your local where you can purchase a variety of Classic or Mini consoles and game compilations. No, downloading other people’s copies of games you don't own is definitely not legal. Yes, 'backing up' games is entirely legal and downloading other people's backups of games you already own might be legal (but nobody has tested it in court). Yes, emulation software is entirely legal. I will begin this guide by asking you to check your internet law degree at the door.