If you want hand held you should buy a PSP and hack it, then you can play Nintendo games on it, Sega games, and many other games on it as well as PSP games all for free.
I got a 2GB memory stick and put NBA08, FIFA08, Pokemon Fire, and Pokemon Emerald on mine
(Ya, pokemon is still fun to me lol)
But you can get plenty of games and it is really awesome. But if you wouldn't want to do this I would say just buy a Wii lol that is what I voted for.