Sony PSP
The Sony PSP is one of the most popular handheld gaming devices partly because it is a lot more than just a handheld gaming device; it also features a multimedia interface so you can take all sorts of media with you on the go including movies and music. This makes it a portable entertainment device as well as a gaming machine.
Another cool part about the PSP is that it features a really large screen with smaller controls on the side so it lets you get all the quality graphics you need while keeping the controls in a convenient place.
The PSP is generally marketed towards the older crowd this means that many of the games made for it are more mature in content and feature fast interactive play as apposed to a system like the Nintendo DS where you may find yourself playing some simple games like Mario Land (not that there's anything wrong with that!).
The Sony PSP also has an upgradeable and interchangeable memory; this means you can use memory cards to store your files on it or you can also download some simple games for the PSP that you will be able to store on these memory cards.
The memory cards for the PSP will set you back around twenty to fifty dollars depending on the amount of memory you would like.
Sony has recently come out with a new PSP that is slimmer and lighter than the previous version. The system is available for roughly two hundred dollars depending on what accessories and such you choose to get with it.