That is one of my favourite topic, here is the answer for my country (France)
First, Nintendo, and probably other companies, will say than using a rom is illegal whatever the circumstances. They are wrong of course, the decision isn't entirely their.
Second, the right to private copy is no more. They were some point in 2005/2006 where a glitch in the law made all piracy legal, as P2P was considered "lending things to friends" basically. That is why at this point the SACEM stopped filling lawsuits for a few months. However, the private copy law was abolished by De Villepin's government.
Third, there is a recent law passed under Raffarin's government specifically targeting video games, saying that hardware no more sold can be freely emulated, and games only available for not commercially available any more hardware can be copied and used for free. Problem is the law was never used in any judgement as no one bothered yet to sue someone downloading/using games old enough to be considered "abandonware". Meaning, we don't know yet what is meant by "not commercially available any more" (is "not sold in supermarket" good enough ? Or is the system considered available if an obscure oldies shop still sell it somewhere in France ?), and we don't know the status of remake and such... (Nintendo could say it's not ok to download SMB1 since it's sold on NDS under the name NSMB).
Fourth, the kind of games most of us are interested in I suppose (C64-type and Amiga-type) are often 100% free : the makers having gone bankrupt, no one holds any copyright on those.
Fifth, there is also some devs that explicitly decided to get their older games in public domain. Cinemaware is even distributing cracked roms of their old games (with original cracktro and everything !) on heir website.
Sixth, although is doesn't concern us yet (the oldest video game being about 50 years old or so), every US games more than 75 years old automatically go into public domain internationally. (was 50 before the mickey mouse act a few years ago)
Seventh, dumping your own game or downloading it is the same at the eye of the law. Only difference is the one that uploaded it to you is in more trouble than you are. That doesn't include P2P, obviously, since you're both downloader and uploader.
I think that's about it. From a non legal point of view though, lots of companies tolerate the distribution of their older game, some of them even acknowledged that it's not "officially" allowed, implying that unofficially they don't care. (I think it's Activision, #1 publisher now, that said to a french abandonware website something like "We won't sue you for pirating our oldest [in the context, they meant "pre-1995"] but we don't allow that". There is also the case of rockstar that still claim copyright for every games, but allow free download on their website of most pre-2000 games, making very unlikely they'd sue anyone distributing the game for free, on P2P or any other network). Not to mention devs stating that they are ok with people pirating the older games they created, even if they don't own copyright on their games, often it's the publisher that does.
