Handheld Emulation: Achievement Unlocked!
I love video game emulation. My favorite games were produced in the 1980s and 1990s, so if I want to play them, I almost always have to emulate the old systems. There is usually a legal concern about ROM files for games, even if you own the original cartridges, so I'm not going to tell you where to find ROMs to download or anything like that. What I am going to share is my recent discovery of the perfect handheld gaming system. Oddly enough, it was never intended to be an emulator.
The PSP is truly incredible hardware. The PSP Vita is its bigger, younger sibling, but if you have an old PSP, I urge you not to throw it away. With a simple firmware hack (also legally questionable, I suppose), it's possible to load emulators that will play Atari, NES, SNES, Game Boy, Genesis, PS1 and most other console games almost flawlessly.
I never had a PSP, but I was able to get a PSP Go in mint condition on eBay for $89. The PSP Go comes with 16GB of storage, so you don't even need to get its proprietary memory card to load it up with games!
One of the problems with the emulation scene is that sites seem to come and go fairly regularly. I found all the information I needed to get my PSP Go ready to play Mario by doing some Google searching for PSP emulators. Specifically, this page was great: http://wololo.net/emulators-for-the-psp-ps-vita-the-ultimate-download-list.
(Image from http://wololo.net)
If you already have a PSP device, the instructions for custom firmware installation is simple. If you don't have one, deciding which version of the PSP to purchase is one of the toughest steps. If you like the larger layout, I recommend the PSP 2000 model. It has an incredible screen and fewer buggy design choices than the original. If you're looking for portability, I'm very fond of the PSP Go I purchased from eBay. The screen is smaller, but it's still plenty large and has beautiful quality. Good luck, and have fun!