I have a psp go and use it mainly for emulation.
NES, TG16 and Genesis work wonderfully. Neogeo works very well for most games. GBA emulation is spot on for most games.
SNES runs like shit

Still worth it though. I've got a cradle with mine, component video out and use a ps3 controller with it.
The only issue is that when you're playing a game using video-out the picture only takes up about 3/4 of the screen. This can be fixed by either (1) paying extra for a convertor (2) using a Sony PS3 3D display as the monitor. I use the latter as it's a nice monitor that I got cheap.