i dont see much of a compatibility issue when it comes to NES, SNES, GB/C/A, Master System, Genesis, GameGear. it seems pretty stable to me.
i see what you mean with making that decision, to me, the way i choose to do it, is to try games out on flashcarts or so as roms, and if i see i like it, i buy it for my collection.
it feels like back in the day when we would rent games, and buy them if we liked them, we cant rent those games anymore (i think), so i have to try the rom first.
for PSX, PS2, Xbox/360, GameCube, you can just burn the ISO to try them first. for the Wii you can load them on a USB-HDD without having to burn them.
the difficult one is the N64