Playstation Portable:

Out of all the handhelds I own and use, the PSP has the best graphics and some of the better games I play and enjoy.  Although on the older models in order to get decent load times, you needed to mod your system and run your games from the memory stick.  Some games run so poorly that even from memory stick it really sucks.  Overall, the PSPgo is an improvement, I personally believe.  It is not that popular yet, as the device is not easy to mod yet.  People like to get their games for free on the PSP, and if it's not easy then why upgrade to a new console.

Nintendo 3DS:

Compared to the original DS or DS lite, this portable is a huge improvement.  I originally bought the system so that I can play Zelda OoT 3D.  However, until the game is released, I am finding endless fun with the built-in software and the new eShop.

GamePark Holdings GP2X:

A Linux-based open source gaming handheld.  Although the GP2X is mainly used for old school console emulation.  There is a huge amount of homebrew software for it.  I plan on either purchasing a GP2X Wiz or a Pandora very soon.