One of the more confusing aspects to 3DS hacking has, actually, nothing to do with the hack itself; it has to do with which version of your favourite classic games to play. A lot of the first-party games made for NES and Game Boy were released on Virtual Console, along with a handful of Game Gear and Game Boy Advance ones. Especially if you jailbroke specifically to emulate old games, you might get a bit confused by all the options available to you.
Option 1, obviously, is simply ignoring the Virtual Console releases and emulating everything on a dedicated console emulator. Option 2 is downloading all the VC releases you want to play and not using the emulator for those games. Option 3 is using New Super Ultimate Injector to create VC titles that did not actually exist.
While each option has a similar result, the main issue I have personally with Nintendo's official VC NES emulator is sound processing. VC's audio emulation is much harsher and harder to listen to than VirtuaNES. I would recommend running NES games through VirtuaNES or Retroarch for this reason.
While we're on the subject of audio, GameYob's CIA version has difficulty in processing audio consistently, while its NDS version is a lot better at it. However, the NDS version does not consistently run on all hardware revisions. If you can't get GameYob.nds to run on your system, creating VC injects of Game Boy Classic and Game Boy Color games is the better option.
In the case of Game Boy Advance emulation, I would generally not recommend using Open AGB Firm for a few reasons. First, you have to hold down START as you turn on the system, which is surprisingly difficult to communicate to people ("You have to hold down that button while you're turning it on. No, it didn't work because you just pressed the button, then you turned the system on. No, that's the GodMode9 menu, because you held down SELECT instead of START. No, it didn't work again because you pressed POWER before you held down START." Anyone who's worked in IT support will understand, people are stupid when semi-advanced computer techniques come into play). Also, since the 3DS OS isn't running while Open AGB Firm is on, you won't receive Streetpasses from NetPass or Pretendo Network. In this case, using NSUI to create VC injects of GBA games is the better choice.
Finally, for reasons understood only by Satoru Iwata, the Old 3DS is completely incapable of receiving Super NES games on VC, therefore Old 3DS and Old 2DS users will absolutely need to use either Snes9X or Retroarch. Unfortunately, games requiring the Super FX chip will not run at full speed on Snes9X on Old 3DS and Old 2DS. Given that Nintendo didn't release Star Wing / StarFox or Yoshi's Island on VC for New 3DS, Super FX games will probably have issues there, too. Oh well, that's what Mednafen on PC is for.
Like the bigger 3DS titles, hShop also offers the complete selection of Virtual Console games. Since they're smaller than your average 3DS game, they'll take less time to download. As I've said before, I'm not going to link directly to the hShop download page because, technically, it's a pirate database, and linking to it would violate my host's terms-of-use. Search it out on a non-Google search engine if you don't already have it from a previous stage of your jailbreak.
Code injection is the process of adding new code to a program or completely rewriting essential bits of it. In reference to Virtual Console, code injection allows the user to substitute the ROM and attributes of a VC release with their own custom selections. Using existing VC releases as a substrate, New Super Ultimate Injector (NSUI) allows you to create VC titles that were never released officially, thereby allowing you to install games directly onto your homescreen. While this method might prove cumbersome if you plan to load the entire back catalogue of games from a particular console onto your 3DS (like all 1500 GBA games), it's better for keeping just a handful of commonly-played games on hand at all times.
Instructions on using NSUI can be found at the Hacks Wiki. Please note, a PC or laptop running some version of Windows will be required. Also, have emulators for the consoles you plan to create VC injects for so that you can test them for bad checksums and ROM corruption before you waste all your time making CIA's of them, and so you can generate images. NSUI will ask you to supply images for the homescreen icon and banner. To achieve an official-looking effect, use the game's title screen.