GameEx can also use ESC to kill an emu. I have written system wide keyboard hooks myself and it dosn't effect the speed of the emu because you don't need to poll the input at 100% CPU usage. You can sleep() for as long as you want after checking for a keypress and it won't effect the emu. It depends on how you code it I suppose.
BTW You can often re-map keys in an emu's exe using Resource Hacker. For example in VisualBoy advance you can map exit to the ESC key and change menu to ENTER.
Eg.
VK_ESCAPE, 40002, NOINVERT, VIRTKEY
VK_RETURN, 40263, NOINVERT, VIRTKEY