And finally cracker (same guy who did DSatm, a whole bunch of trainers, a bunch of conversion tools.....) made CCCGP, a method to hardcode gamegenie style cheats into older systems (it would work on newer systems but nobody made them for new systems: http://ezflash.sosuke.com/viewtopic.php?t=5974
(not sure where the GBAtemp thread is right now but there is one around here somewhere)
If CCCGP doesn't work for you, for GB/GBC games use GGGBRP (called Game Boy Game Genie Rom Patcher though it doesn't match with the acronym for some reason) and for SNES games use SNESPatch, both of which hardcode the cheats into the rom file itself. NES games can have cheats hard-coded using the cheating tools at the download section of http://pocketnes.org
EDIT: if you're using SNES Advance, Snezziboy, SNES DS, or SnezziDS, you can also turn Game Genie cheats into entries for the snesadvance.dat or snezzi.dat files using a tool called "Game Genie Thing" which can be obtained from the SNES Advance website.