At home, I like to use the actual systems, when applicable and convenient, for that genuine feel. On the road, I use quite a few emulators on my custom firmware PSP, since using the actual systems is unwise or out of the question, with exception to NDS and GBA.
When it comes down to it, I really just want the best experience I can get playing the games. Whether the actual system or the emulator provides this, and whichever is readily available, makes my final decision on the matter.
Putting it simply, I have no preference, and frequently use both choices. I use whichever works better or is more practical for the situation.