UPDATE (9/26/2012): Another one by request, using Super Metroid's Japanese artwork:
I've been working on a fun little pixel shader for use with RetroArch that functions similarly to the Cg border shader but using GLSL and the XML shader format. The way it works is that it combines the functionality of the existing integer scale shader with a lookup texture (LUT) that loads an external texture and then combines that image with the rendered game image. The LUT then has a transparent window in the middle where you can see the game peeking through.
In the simplest application, you can put whatever fancy stuff you want around the game window, like this awesome pixel-art border created by FirebrandX (NOTE: all of these look better in actual use; the way I took the screenshots caused the game's vertical resolution to get cut off by the border a bit):
By using RetroArch's awesome multipass shader support, you can also tack on some fun effects, like cgwg's CRT shader and some high-resolution artwork:
We can also do fun stuff like this TV border:
And we can use the transparency of the background image to overlay things across the game, like this Super Mario Bros 2 border, which has the characters overlapping a bit:
You can download these and others here:
To use the shader, you'll need to uncheck the 'Lock Aspect Ratio' option in RetroArch, under 'Video' and put the desired background image in the same folder as the shader with filename 'background.png.' The backgrounds only work with specific monitor resolutions, so I've included 1080p versions of the ones pictured above, while FirebrandX was kind enough to make several iterations of his sweet pixel-art backgrounds that work at their specified resolutions. I've also included several background-compatible shaders, including the raw shader, ones with cgwg's CRT+NTSC-RGB (both flat and curved varieties) and some with cgwg's CRT+NTSC-RF (both flat and curved varieties).
In case you'd like to make your own, I've also included a simple template (in PSD format) for 1080p resolutions.