I own the Play Yan Micro, the 'device' roto mentioned. It's decent, but not worth spending the money on. Also available is the Nintendo MP3 player, which is a watered down version of the Play Yan. Same cartridge, same software, but can't play videos.

If you want a Portable Playstation, then go right on ahead. There really isn't anything available on the PSP yet that makes the system worth buying on its own merit (Opinion), but there are actually several games available that make good buys if you do end up getting one (Fact). Homebrew is pretty cool from what I've fiddled with, but if you want to play PSP games, you're forced to upgrade the firmware in most cases (which cancels all homebrew efforts). There are ways around it, but they're potentially very damaging.

The DS is currently my favourite 'active' system. I've always been pretty partial to handheld gaming anyway, as I only had a GameBoy to play with from when I was in preschool, right up until I was 16 when I bought my first console (Gamecube). Still, there are several 'system selling' games of varying genres already available. There are a few games that are notoriously stuck in Japan with little/no hope of ever coming out here (Elite Beat Agents was a miracle), but if you're comfortable with importing games you'll have access to a few more (though somewhat nichey) excellent games. PSP of course can play imports too. Plus, you have the entire GBA library available to you.

5 good games for each (ports, rehashes, derivatives or otherwise):

PSP: Daxter, Mega Man (Powered Up & Maverick Hunter X), Tekken 5 Dark Resurrection, 2x Lumines, 2x Metal Gear (but not 2x AC!D)

DS: Elite Beat Agents, Mario Kart, Jump! Ultimate Stars (Japanese), Advance Wars, New Super Mario Bros.