Because a few of the "necessary" things are missing from it, the zero isn't the most practical thing in the world and is only useful in certain situations. Strangely enough video games seem to be one of the few things it's suited for.
With the random fondness of antiquated technology as it pertains to our hobby aside, let's not be silly here. This is 2015.... hdmi is the connector you should be using and a hdmi equipped monitor is what you will play anything on. An hdmi cable is a dollar. No seriously, they are a dollar. If you are paying more than a dollar, I'll just direct you to "the internet" just sort by price low to high. The micro to macro hdmi adaptor is around 75 cents. A micro usb cable is also a dollar. I literally saw one in the dollar tree the other day, so you don't even need the internet for that one.
Assuming you are hooking it up to a hdmi television, which we've already established that you should probably do, you hook the hdmi cable up for sound and video and plug that usb cable into the usb port of the tv for power. Aside from a sd card that's really all you need.
If you really need internet and what have you those dongles are around a dollar as well. If you get a pair of Bluetooth dongles you can bridge internet, audio and devices all through a single dongle which eliminates the need for a hub.
So sure, the thing isn't actually 5 dollars, it's more like 8-10 by the time you get all the necessary junk, but let's not over-react.
It's still plenty cheap and the pi is now finally at the appropriate price point for what you get.
I think for arcade emulation it's a bit of a bust because... well it's a pi, but console emulation seems like a sure bet. 8 and 16 bit consoles don't require a lot to emulate and their controllers could most likely be driven directly from the GPIO header.
I'll also point out that they make hdmi cables with a 3.5mm output cable for audio. They aren't super cheap, but they aren't terribly expensive either.