In SNES Advance, by default L and R are used as X and A buttons, and to actually press L or R on the SNES controller you have to press Select+L or Select+R on the GBA. If you press A+B+Start+Select you can change the key combinations.
In Snezziboy, you have to manually configure the controls for each game by opening the config menu with L+R+Start, though after you change it, it's saved in SRAM. With this, you choose a "CTRL" key which acts sort of like a shift key. For instance, I use L as my control key and set the rest up so that A is A, B is B, Y (SNES) is L+B (GBA), and X (SNES) is L+A (GBA). It sounds complicated, but you get used to it fairly quickly.
In general, SNES emulation on the GBA isn't all that great, but with speedhacks and graphics patches you can make many games enjoyable. I personally enjoy speedhacking games just for something to do, even though I realize that by now very few people will actually use the updated patches.
