For roms, you can dump them with devices like the Retrode or use a flash-cart.
For CD-based consoles, you can simply dump them with your CD drive.
Sometimes, you can extract the roms from a compilation.
If you don't own any cartridges/cds, you could always download the numerous homebrew games on the net.
I'm not sure if there are built-in emulators but that's the case,
i would recommend against using them and just download them from the web.
PPSSPP, Reicast and RetroArch are probably the best emulators you'll find on Android.
Play!, a PS2 emulator, has an Android version but it is in work-in-progress. (never tested it though)