My phone, to my knowledge, doesn't have a USB host controller... unless one can be emulated with software or something (but I doubt that's the case). So I would expect it's impossible for many phones.
EDIT: Ah, I didn't know of USB OTG - I suspect, then, that my phone lacks support for it (HTC Hero).
EDIT2: Oh, quick google gave me the answer that my phone DOES have OTG... now, if only it had a decent enough graphics chipset to run emulators well
