Unfortunately, I can't respond to how well the emus work because I've never played them. I will tell you that if you compare the GP32 to a GBA (hardware-wise) the GP32 is a lot more versatile. Now, it does load slower than cart-based games on the GBA (you get little "Loading screens between level switches and such), and it's also more expensive, but the fact that you get a built-in MP3 player balances that out, IMO. Plus, the manufacturer ENCOURAGES open development of games...well, that's important for me, but I don't know how other people think. I know that the European version will be coming out pretty soon, and it's going to be cheaper than the current Korean version. ~$129.00 if I remember correctly.
The movies do come out looking okay. They have a pretty high resolution considering that you're watching them on portable game system. Read the previous two sentences as: "It doesn't suck." Of course, considering that you've only got 128MB (soon to be 256MB) to play with, you probably won't be watching many movies. Well, at least not the 2-hour kind you get on DVD. The mp3 playback is just fine as long as you're using headphones. The tinny, built-in speakers really aren't suited for playback of anything other than "portable" game music.
With all that said, I think that the GP32 is great fun if you love gadgets...especially if the development of all the neat stuff that people are making keeps going (like the PCEngine Emu!).
Also, note that all of the opinions I expressed here are from my 15-minutes of playing time that I got with it at the Midwest Classic back in June, but I feel that I got a pretty good impression with just that.