I recently bought a seven cd collection of all the roms available for mame recently. Over 3000 arcade games including every game ever released for the Neo Geo. I've yet to even scratch the surface.
Seven CDs wouldn't be a complete ROM set, unless it was an older version of MAME. The complete ROM set, with the hard drive images (for newer games like Killer Instinct or Area 51) is around 9 gigs in a heavily compressed RAR file. Might be just minus the hard drive images though, as several gigs of it is just that (Maximum Force alone is 2 gigs uncompressed).
Emulators by system, IMO the best..
Atari 2600: Stella.
NES: FCE Ultra and NNNesterJ (best display options) - If you have an old machine and those run bad for some reason, NESticle is the best for weak machines (Less then like 133 mhz), though it has awful sound and mediocre compatibility.
Sega Master System: Eh, this is a toss up. I use Dega.
Sega Genesis: Another tossup. Genecyst, kgen, and kega are all good. Kega also does Sega CD and 32x I believe, not sure on the others.
SNES: ZSNES is the best. It also is an incredible achievement, coded entirely in ASM. It runs far, far, far better on a weak machine then SNES9x - very playable with frameskipping on a PII @ 200 mhz, and is workable even on weaker machines then that.
PSX: ePSXe. There is no doubt for ANYONE that this is the best. There really isn't any competetition in the same ballpark.
Game Boy Series.. I use Visual Boy Advance. Boycott Advance is supposed to be very good. Visual Boy does all 3 GB series, not sure about Boycott.
Saturn: The hacked Giri is the only option, and it requires like a 1 ghz machine with a decent video card. Can't link to it as it is essentially illegal, from my understanding.
Oh yes, about emulation on the Dreamcast. I've been into the Dreamcast scene for over a year, so I can talk a bit about it..
NesterDC, the NES emu for Dreamcast, is virtually perfect. 100% speed, 100% sound, fantastic compatibility, save states, game genie support.. The works. I liked it enough that I made two NES controllers which work on my DC. Tutorial I wrote on how to do that can be found here
DreamSNES is slow. There's supposed to be a big update. Many games are very playable without sound, but I personally can't stand games without sound. There aren't any other good SNES emus.
DCGNUboy, the Game Boy/GBC emulator, is nearly perfect. Haven't messed with it much myself, but it's supposed to be excellent.
StellaDC is virtually perfect as well.
The various MAME/MAIM releases vary in quality. Most have good speed and compatibility up to like late 80s stuff, and very early neo geo (the NAM game for instance).
Genesis: The only worthwhile option is SegaGEN. It has good compatibility, 100% speed, and kind of bad sound. It was coded by Sega, and ripped by Echelon, a pirate group, to load any ROM. Hard to get working, but pretty nice otherwise. Good luck finding it, as it is illegal.
There's a Colecovision emulator that is supposed to be near perfect. Haven't used it unfortunately.
For the Sega Master System, there is SMEG. Near perfect, but no save support unfortunately. This doesn't matter for most SMS games. It also has near perfect Game Gear support.
PSX: There's the official Bleemcast discs, which must be purchased. One for each game. Metal Gear Solid, Tekken 3 and Gran Turismo 2. Playing on these, the graphics are MUCH MUCH better with higher frame rates, better textures, and less tearing. There is also a hacked bleemcast, which will ATTEMPT to load any game. Success rate varies a lot. Some work nearly perfectly, but most don't work at all. This hacked bleemcast is illegal as well.
Other stuff: There are various ports to the Dreamcast. nxDoom is a Doom/Doom2 port, and is very smooth and very very nice. Wolf3D ports are around. There are 3 Quake 1 ports, and they vary in quality, the original port by Titanium studios is still the best. Very nice actually. There is also a Rise of the Triad port, which is very cool. And a Quake 2 port, which is playable but has no sound. There's a million other ports, but I'm not going to list more. One big final one: Duke3D DC is in the works by a couple people.
At $30, the Dreamcast is still worth picking up.
but i wanted to know how to play them. Once I got them installed....I couldn't play them.
You have to find ROM files. That's the hard part. Search Kazaa, or the websites posted here. Direct COnnect
is also a good option.
Me personally, I have complete NES rom sets, all the SNES USA releases (though not Japanese unfortunately), all Coleco vision, all Atari 2600-7800, about 500 Genesis, and around 250 Sega Master System ROMs. You have to know where to look, and its a lot harder then it used to be. Kazaa is a good start for finding packs of a few hundred ROMs at a time, but MAKE SURE YOU HAVE A VIRUS SCANNER CHECK THEM FIRST.