Megadrive, Super Nintendo Famicom: Retroarch Wii.
Ps2: CRT TV with Composite inputs.
Wii: CRT TV with Component Inputs.
Nintendo 64: CRT TV with Composite Inputs.
Now with the Nintendo Wii: You can install Retroarch on it, and hook yout Wii to a CRT TV with either Composite or Component cables.
If your TV supports EDTV resolutions (480p) then by all means do use Component cables. If not, stick with Composite.
If your computer has a lot of power, I'd install Retroarch on it, and I'd hook my computer to a HDTV (LCD or PLASMA) trhough HDMI and I'll play my games on it and of course I'd use Retroarch Overlays.
Shaders are different than overlays.
An overlay is an imposed image over your games, for instance, scanlines, grids, etc.
Shaders takes out resources from your PC to work. For instance, smooth filtering, dithering, scaling, texturing, etc.
If you are able to emulate powerful consoles on your pc, by all means go with it.
I WOULD REALLY PASS OUT THE AV TO HDMI CONVERTER BECAUSE IT ADDS INPUT LAG