You may have some sound problems with zsnes on Debian amd64 (jessie) especially if you want to use pulseaudio with SDL. There are a lot of old posts about these kind of sound problems with zsnes though none of the proposed solutions will work anymore. The last zsnes version (1.510+bz2-5) comes with only the SDL audio output. I configured the SDL audiodriver to pulseaudio but it had to be configured to pulse for zsnes to work (well don’t know why). Anyway all I had to do was this :

export SDL_AUDIODRIVER=pulse
zsnes

And now it works. So you may just add an alias or wrap this into a script to do that automatically.