I'm just referring to 3rd party software that doesn't fall under emulators or roms. Stuff like Reshade / SweetFX shaders, rom patching software for hacks from romhacking.net or input mapping software like xpadder.
Honestly just start out with the stuff you know you want and build upon it slowly. I just try and grab anything and everything all at once and figure your way through it you will find yourself quickly overwhelmed and in an unorganized mess.
As for emulators, you can either start out with individual ones like Snes9x or you can go with Retroarch and use it for what it does well which is quite a bit like the 8, 16 and 32 bit era stuff. You will want some stand alone that either has no Retroarch core or the core isn't on par with the stand alone like Dolphin, PPSSPPP and PCSX2.