New Open Source Linux-based handheld game device
If you're considering a PSP but would rather not buy a closed system that locks out third party software, you have another option. The GP2X is an exciting new gaming device that even includes a SDK for porting software.
From MacMegaSite
If only it had it's own hard drive and card reader, it would a viable alternative to the Epson P2000 (or P4000 for that matter). Expected price is $190.