Emulators are very convenient - you can change machine config just like that, you can record video, etc. But for action games like platformers etc, there's always a small audio and video lag due to buffering. Things can be be improved with low-latency sound cards and extreme CRT refresh rate - but it's still there. And watching a demo in full framerate synced glory, even on a 50Hz Amiga monitor is the only right way to watch a demo in my opinion.
WHDload verions of the games can be emulated with vastly improved speed (think 'FA-18 Interceptor et al), but the same game can ofc be run on a fast Amiga if you have one.
I like games where precision is rewarding, and so my favorite games always end up being played on my real Amiga. Playing those on emu makes them frutrating and less enjoyable.