A lot of these crammed-down portables are great, going back to the Game Axe and others from a few years ago - the downside is having those whacking great cartridges sticking out. I love portable retro gaming but I much prefer practicality. Until it died about a year ago, I loved my overclocked N-Gage which had some great games and a couple of decent-spec emulators. I've moved on since then and recently picked up the best mobile retro-gaming platform - a PSP - following the infinite delays of the Pandora and design issues of the GP2X Wiz.
I advise anyone after a mobile retro gaming device to get one, update the custom firmware and get a fat memory card for it - I got boatloads of games all on one system, including my PSX rips. Thanks to the native Sony hardware, it plays converted PSX games without needing regular emulation, so I've got the entire Final Fantasy series to keep me going on the move.