I have the same problem.Concerning my PC I really don't mind making many sacrifices for using free software; but abandon my consoles? Good old Snes?
The combination "emulator + rom" is a different question, but in case we talk about old fashioned consoles like the snes, I don't see a big problem that they run non-free games, since they aren't really a computer, and I don't think that they have any malicious features.
Talking about modern consoles like the PS3, things get more painful...
