The short answer is yes. The ones that I have tried work nearly perfectly, and the best thing is that they're free. So, instead of tracking down a console, then finding and buying all the games you want, you can download a game and be playing in a matter of minutes. All you really need for some great retro gaming is some decent computer knowledge and a PC compatible gamepad/controller, then it's off to the races.
Here is a list of console emulators I would recommend: