For NES you want LittleJohn. Version 0.4 is the latest and is compatible with all ROMs I have tried. Some people on this board have said version 0.3 is faster than version 0.4 but I cannot tell the difference myself, and I have found version 0.3 not so compatible as 0.4.
For SNES you want OpenSNES9x, but don't expect to play things like Star Fox or Super Mario RPG.
For Master System I would say you should go for fSMS. This emulator does have an issue with the screen sometimes splitting in to 4 sections after playing for a while. You can prevent this by going into the emulator menu (L+R), selecting Video submenu and then disabling Double Buffering.
All three of these emulators support save states and zipped ROMs, just make sure you do not have any other files in your zip file with the ROM.