I've made a few emulator boxes with raspberry pi and given away as gifts, installed retropie on them and bought a cheap controller to go with it. Works extremely nice I think. And with the pi 3 you get bluetooth, wifi and enough power to run pretty advanced things at full speed. Can't recommend it enough, especially if the alternative is to buy one of these retro-boxes with a set number of games on them. But, of course, they are completely legal and will run out of the box with no problems. But if those things are not that important, a pi is easy to build and with a little bit of knowledge about linux, or just the insight that you don't have the knowledge required to make adjustments yourself and feeling fine just sticking to following the guides that exist, it's a very easy thing to put together.
Never built one for myself thou, been trying to get my pc running steam os to work ok with emulators but I'm running into all kinds of problems so might settle on letting steam os just be steam os and building on of these for myself as a nostalgia christmas gift for me and the family.