Yeah, PlayStation emulators have evolved nicely, people are still updating them.
They support all the latest and greatest, as you've seen, bump mapping. They also support new types of AA, upping internal resolution, you can add HDR, lighting, ect, a myriad of new effects. Like the FF9 Screenshot, it looks pretty damn spiffy with Bump Mapping and Bloom, on the other hand, some games do not handle bump mapping well at all.
They also have this "Natural Shader", which I use with 90% of my games on ePSXe, it adds high quality filters, AA, increased color depth, and such, it made MegaMan Legends(One of my favorite games, EVER), look so much better than the default it looked like MegaMan Legends 2(3 years later)