Officially rooted HTC, denies su permission in Android Emulator app
Thanks to "eldarerathis" for the comment. Basically unlock bootloader does not mean you will have root access to your device. Even though you can install an entire new operating system still rooting your phone must be done inside the OS.

So if you trying to root your HTC device check unrevoked.com. for other devices I found a reliable tutorial at http://howto.cnet.com/8301-11310_39-20054428-285/how-to-root-your-android/.

please note unlock bootloader or rooting your device may void your warrantee.