An actual GBA should be pretty cheap to buy since the DS and DS lite are now out. Gameboy Micro is another alternative and should play all GBA games. DS's will play GBA games, but don't support multiplay.
I think you should at least own the handheld. If you like the games, support the companies by buying their products. It won't cost you all that much, and will run better than any emulator.
Sure, it's hard to beat 'free' games, but paying for your games will make it much more satisfying - not to mention, legal.