Graham you may want to check into PalmOS emulation. My understanding from my meager research is that PocketPCs are more powerful that the GP32 and can run emulators better as a result. Understand that I don't have one and have no practical experience other than reading other's online experience.
I have had no luck with GeePee32, and really no desire to keep screwing around with it trying to get it to work for testing purposes, maybe you have more patience.

Some of the games on MAME32 have good or choppy sound, some have none.
I think that the GPengine is the best emulator for GP32 that I've tried, although I'm biased, I love TG-16. Most TG-16 roms run great on this system.
If you are still considering a GP32 purchase I would highly recommend buying the BLU version for the backlight feature.
I am dissapointed that I didn't as the non-lighted version is hard for me to see (Old Fart syndrome) and there are no built in options for brightness adjustment.
And if buying from someone who "guarantees" the fast 166 version, find out what their return policy is in case they sell you something lesser. I'm sure that the guaranteed fast version is gonna cost you a little more money, be sure you get what you pay for.
Also keep in mind that you will need a SmartMedia memory card, I have a 64mb, suggest you get a 128 if possible.
As you can see GP32 can be an expensive proposition for emulation, doing the research before you decide if its worth buying is a great idea.
For me the limited use that I get out of mine was not really worth the cost, the TG-16 emulation was the saving grace for me, justifying keeping the GP32 around a bit longer.
Just my opinion based on my experience, your actual mileage may vary.
Here's hoping that the coders will get busy emulating something better, like a solid Genesis or SNES emulator that will run most games smoothly with sound.
Good Luck, keep us posted on your decision/experience with this console.
ARCADIAC!