Fun topic! I accidently stumbled across my Dreamcast today, such a nice console, and very innovative games aswell. One of my favorites for sure. I also play a lot on my DS, its fun and it has some very original games. Last on my nomination list is the Neo Geo pocket: although it lacks a backlight, it was one of the first proper handhelds in my opinion, despite the fact I loved the Game Gear back in the days.
Then again, now that I think of it.. I'm still trying to get hold of a complete megadrive+mega cd+32x set, the most expandable console of 'em all.