PocketNester, PocketSNES, and PocketGBA are the emulators for NES, SNES, and GBA that I use, and they all work pretty well. I think I remember seeing PSX emulators too but just as a warning there's no way in heck they're going to do much more than chug along at an extremely low framerate unless you're running a very processor-lite game. SNES and GBA games run decently, though, especially for strategy games where having a high frame rate or precise control don't matter all that much, and NES games run like a charm.
With all the games that have been written specifically for Windows Mobile, though, why not try some of them out? Astraware has a lot of fairly cheap games, and there are actually quite a few fun freeware games to be found as well. Check out
this post at XDA-developers for a mega pack of free games, most of which run on the Vogue. My personal favorite game for the Vogue is nandhp's Freecell, which you can find
here (it actually looks a lot better than the screenshot would make you think).
Good luck!