Most of them are usually some bootable Linux distro/emulator/frontend suite, such as Batocera or Lakka. Unfortunately I can't speak for which ones are good or shit. There's also the possibility of the cheaper ones having some kind of malware payload on them; definitely don't plug one in to a desktop/notebook that you care about.

If you're tech savvy and already have the game ROMs, you could actually build a Batocera USB stick yourself and load the ROMs to it. There are lots of tutorials on YouTube etc.

The cheaper ones will probably be a shitty NES-on-a-chip, and half the games will be ROM hacks of other games.

The really cheap ones will just be really shitty emulators. Look them up before buying and don't trust on-site reviews

I dunno about game sticks, but a lot of the retro emulator handhelds are pretty nice. I have a powkiddy v90 which is a few years old and about as cheap as they get and it's good at emulating everything up through GBA.