I will answer ALL your jailbreak questions.

[lumothesinner]

psx4all has big problems on iOS 5, probably has less problems on iOS 4 if you can get hold of v3 rather than v4 but its not in brilliant shape. Wait for zodttd to update it.
SNES, NES, MD, GBC, GBA all work great. plenty of emus for the first 4, I would recommend using the .emu emulators by robert broglia (ive tried a few, i like those ones the best) but with gba your only choice is gpsphone, which worked fine on my 3gs and fine now on my 4s, but the main interface and available options are limited compared to .emu ones. But it works so I'm not complaining.
Also n64iphone is supposed to be getting an update soon for iOS 5 as well, would love to see how ipad 2/iphone 4s handles that