Certainly there are a few to be honest but aside from the few that tbh I probably shouldn't have downloaded, most of the stuff I don't own falls into the abandonware category and even the ones I'm thinking of that are shady are super expensive on the second hand market. Specifically, a number of the old arcade games I play in MAME or FBA are either available only through emulation or buying the arcade HW. Less obscure games like the first 2 Marvel VS games(XMvsSF & MSHvsSF) are, at least in arcade-accurate form, only available on the Saturn, both use the 4 MB RAM cart AND are Japan-only
Seiken Densetsu 3, Mother 3 and countless other games can only be played in English via fan translations as well so I feel no guilt emulating those games because playing them in Japanese is not an option. On top of that, often times the best versions of games are actually ROM hacks that correct bugs, improve translation and/or totally remake the games in question so to end my ramble it's a very complicated issue.