I'm quite impressed with the most recent GP2X version available of UAE4All, which is 0.8.0 beta. It seems to have substantial increases in speed over 0.6.4 (which I also tried), has a better interface, and music in particular is fairly smooth: Turrican's, for example, plays very nicely even at 240 MHz. The one really disappointing thing is the lack of any sort of save-state facility. I don't know how hard it would have been to have included, but it's one of only two things about UAE4All that truly irritates me -- the other being the very poor quality of some of the keytop graphics on the virtual keyboard.
I haven't had time to test UAE4All with more than a small handful of games so far. Turrican, as mentioned, runs fine, and so does Rainbow Island. Lemmings I can't get to go past the intro sequence; not sure why. Finally, The Secret of Monkey Island runs perfectly, music and all... but that really is a game where the lack of a save-state facility ruins it as a serious GP2X experience. If only it had passwords, like... er... Lemmings!
Update: Hmmm... for some reason Head Over Heels won't work with 0.8.0 beta, but will work with the older 0.6.4 version. It's not the greatest conversion around (being rather basic for an Amiga game in sonic terms, for example) but it's a game I enjoy so much that I'm relieved it works under at least one version of UAE4All!