I think I have a pretty good setup here for gaming on the go. A bunch of classic console and arcade games on the Nintendo Gameboy Advance SP.
The GBA SP is a nice choice because it's so small, especially when folded. It has a good back light, and really good controls that map well to the old games. No need for a stylus -- just turn it on and go. And the battery lasts a long time, and is rechargeable.
There's a lot of good games for this setup. My favorite of the bunch from my pics is the Activision Anthology. Most of you are probably familiar with this one...every 2600 Activision game recreated perfectly, with box art and manuals. It is sweet.
The rest are mostly arcade game recreations, and they are all pretty awesome. Gauntlet and Paperboy, Pong/Asteroids (with the 2600 Yars' Revenge!) , Pac-Man Collection, Namco Museum. They all play well. Well, most of them. Some games are really not very fun with a gamepad (Pong, Kaboom!, and Missile Command, for example).
I got this Gameboy Advance at a local Goodwill for $20, and the games are all found in the wild for less than $10 each. Whipping this baby out on an airplane though....priceless.
Hope you all will share your portable setups!