We at WPSauce are a big fans of emulators. I have been playing emulators since early 2003-2004 mainly SNES, Nintendo 64, Saturn and then moving on to Play Station games. Android users have had emulators available legally on the marketplace for ages now, apparently - they are being removed now (whoops!) - Windows Phone 7 marketplace guidelines do not allow emulators, no surprise here. But fear not, homebrew community already have three distinct working emulators for you to get your hands on.
For the curious or puzzled folks, Atari Lynx was the world's first portable gaming device with a colored display and was launched in the same year as the original Nintendo Gameboy. After more than 20 years, we clearly know who won the battle.