Similar to what others have said, I go about it based on availability. For games that were never released in America to begin with, I think the answer is yes. If it was never released here, there's no sale lost. The only other cases where I think it's appropriate are for games that are out of print. I do NOT want to pay $200 for Mega Man Legends 2; that's insane (incidentally I am soooooo glad I got MML1 when Amazon still had it for like $30 and free shipping). If the product is out of print, and more importantly out of print and unavailable for a reasonable price, I think it's alright. Clearly, the publisher doesn't feel it would be profitable to release any more copies, and retailers have exhausted their stock, so even if I buy the game, the publisher won't see a dime. The same goes for used, but I don't want to buy used because I have OCD and freak myself out over where and where not X game might have been/who it belonged to. :S
Of course, all that having been said, the only game I've played using a ROM is Clock Tower for the SNES. I have over 300 games I haven't played that I obtained legally, I don't need to distract myself with others. Then again, I might snap. At. Any. Time.