You can emulate everything you've got, anything older, and basically any portable that isn't a DS or a PSP pretty well. You can run some Playstation and N64 games, as well.
MAME runs most older or simplistic games well, but if it's 3d, you won't have quite as much luck. Most 2d stuff should run fine, though.
The hard drive is relatively easy to do, as long as you follow a tutorial. You will also have to crack your PC open, though, to my knowledge.