I heard that x-box is coming out with a handheld ... (a friend of mine told me) ... don't know when ... I have a PSP, enjoy it ... multifunctional ... (movies, music, internet access, mp3 player ... and of course .. video games). My son has a Nintendo DS ... I haven't played it ... but it does look cool ... my teenage boys have fun on it too!
I don't know if this helped ... just my 2 cents
The Nintendo DS is by far the best handheld on the market. The PSP may have technical advantages over the DS, but that's about it. The DS wins hands down on portability, ingenuity, software (many more people are making games for DS then the dying PSP), and just plain quality of games as well. On top of that, the DS plays old Gameboy Advanced games as well.
As for the best handheld game ever? That's a tough one! If you were basing it on sales, then Pokemon is probably the best, though I've never really gotten into Pokemon (it's not a bad game, just never held my interest for long). I like RPG's, and I have the first 6 final fantasies on my DS and play them all the time. For me, those are by far the best games on the DS.
I have a PSP running hacked firmware, and really love it. At the moment I use it mostly to read PDFs on the way to work, and emulate SNES games I used to play as a kid.
My order of preference is thus:
1. PSP with 3.x OEC Firmware
2. DS Lite
3. Plain old PSP
4. Mobile phone (Java Tennis!)
It's one of those matching-blocks games; one can play timed (6 minutes), or by "capturing" the various animals by 100's, or there's a quest game (try to do this....try not to do that, etc.), plus just the straight-up version.