Nintendo's Game Boy owns handheld gaming. The hardware is good and cheap and the games are great. But the system is closed: Nintendo would really rather you didn't hack it. There are alternatives.
The GP32 from Korean company GamePark is the most promising. Powerful hardware: 133MHz ARM, 8 mbytes of RAM, 320x240x16 screen, wireless networking, easily programmable. It has a huge community of hackers. Most promising are the emulators: you can play classic Atari, NES, etc games on this thing. The MAME, Game Boy Advance, and SNES emulators have been hyped but they don't quite run right yet. At a price of around $210, it costs double a Game Boy Advance. And GamePark is having trouble: the European launch was cancelled last week, but the platform should live on. Still, very cool.
The other platform that has folks excited is the TapWave Zodiac. More corporate / licensed than the GamePark, but the hardware is promising. It's a bit more standard: PalmOS and Bluetooth. Should be shipping any day.