The Virtual Console library features classic Nintendo games from the NES era through to the Nintendo 64 for between US$5 and $10, and it's available on the Wii, Wii U and 3DS. If you don't have one of those sitting in the cupboard, you could always pick up a second-hand Wii off eBay for under $60.
Collections & remakes
You're not going to find any Nintendo games on Steam, but you can find plenty of the classics, including some of the third-party titles from the NES Classic library.
There's Mega Man Legacy Collection (which is also available on the 3DS, PS4 and Xbox One), and the arcade versions of Galaga, Pac-Man, and the Double Dragon Trilogy (which hold up much better than their NES counterparts).
While it didn't make it into the NES Classic, DuckTales was a beloved NES platformer which has been "remastered" and is currently under $5 on Steam.
If you're not particularly attached to the NES, you might consider Atari Vault for Atari 2600 classics, or the SEGA Mega Drive and Genesis Classics library, which you could argue packs a better library than the NES Classic.
Those of you with an Xbox One have the Rare Replay collection, with 30 of Rare's games spanning 30 years from the ZX Spectrum to the Xbox 360. It's available for under $20 on Amazon (and yes, it has Battletoads.)
And if you've got an old iPad lying around, you can turn it into a mini arcade machine with an iCade Core from Amazon for $60.
Important note: despite being a moral grey area, downloading ROM dumps of old game cartridges is copyright infringement, which is most likely illegal in the country you're in.
For those of you on a Mac, OpenEmu is a slick package which can emulate a variety of classic (and some not-so-classic) consoles, and features plug-and-play support for PS3, PS4, Wiimote and Wii U Pro controllers.
If you're on Windows, RetroArch is the slightly less slick equivalent. You'll be able to use an Xbox One controller natively on Windows 10, or with the aid of a Wireless Adapter on Windows 8.1 ($24 on Amazon). You can also use a DualShock 4 on Windows with a nifty piece of software.
Purists who want the most authentic experience available will want to steer clear of emulations, but no doubt will also envy the extensive virtual libraries available to emulators. Here's how to have the best of both worlds.
Flash carts enable you to load ROMs onto flash media and play them on real hardware. The EverDrive and PowerPak are your options for the NES, though they're both likely as hard to get as a NES Classic over the holidays.
And if you scoff at the thought of paying north of $100 for a 25-year-old NES to go with it, there's always the Retro-Bit Super Retro Trio, which supports NES, SNES and Genesis cartridges. It's not an emulator-in-a-box like other clones, and according to the people at Retro Collect, it'll work with an EverDrive.
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