The answer is Yes and No.  Let me explain further... to somewhat clarify things.

Emulators
Well, technically as far as the game companies see it, emulation in their eyes is illegal, and they want you to think it's illegal.  They could and are able to press charges for it.  But still, you can get away with writing an emulator, especially since there are so many documents on coding and compiling different emulators.  It's completely legal to write an emulator program without the original BIOS software.  Many authors reverse engineering on the machine themselves and write small test programs. In other words emulation itself is not illegal but the Game Companies and the IDSA (Interactive Digital Software Assossiation) want you believe that it is illegal and are always trying to make them illegal.  It's perfectly legal for you to download and own Emulators.

Roms
Yup, RoMs are definetely illegal.  That 24-hour sampling disclaimer is Bullshit.  It's just an excuse the WareZ community made up to get around the law.  I mean it's the same thing as software piracy, which is as illegal as it gets.  Downloading RoMs you don't own is completely illegal, period.  But get this, you are supposedly allowed to own "Back up Roms".  Again here we enter a gray area.  You see, the big thing with "games" is that they are FREE on the internet, and that doesn't sit well with the Game Companies, because they can and are loosing some money because of this Emulation deal.

But there are legal Roms...  However, there will always be a debate about this stuff...  By the "Copyright Information Act" Proposed Update of 1995 technically says that legal Roms, are games that are old and are considered a non-profit to the game organizations. So then again technically speaking 2 or 3 year old games are now or should be public domain.  But then again that was just a  proposal that was made and who knows if it was passed as a full law, so it's not 100% sure or legal.

Also by copyright law,  Section 117 of the U.S.C. Title 17 (Copyright law), says that you can legally own a copy of software that you own (a RoM is software).  So what this basically states is that, if you have the game itself you can have it's Rom a.k.a. "Back up Rom".  You see where I'm getting at?  This legal mumbo jumbo gets very very hairy... and very involved.  I just give you the basics, you can look up all this stuff...  I got some of this info from  Emux.com so if you want more details on the RoM legality go there.
 

On a final note, Let's face it, in Reality the FBI won't come rushing in your house and arrest you for running emulators and having pirated Roms on your computer.  So don't be paranoid and enjoy this cool concept of Emulation.