As someone who has owned every Nintendo handheld, I have to say it's the PSP (specifically the Go).
Hardware-wise, it's delightfully compact with clicky and responsive controls. It's powerful enough to deliver pretty robust games and while it's no IPS/AMOLED, the screen is plenty sharp and I'd have to say Sony's claim of having the best contrast and colors possible on an LCD (at least a TN) isn't too far off as the colors are quite punchy and it held up well in a calibration test and outdoor visibility is surprisingly good despite the brightness. While it's kinda finicky, I also like that it supports my beloved Bluetooth headsets (I hate cables).
Software-wise, it has the greatest and most obvious feature for any portable device: Suspend. I'm surprised no other device has this and quite disappointed they didn't implement it into the Vita. It allows you to quick-save any game no matter where you are or what you're doing to switch to another game or really do anything with the system. As a bonus it kicks in automatically when the battery dies so you can actually play for the full duration of the battery's longevity and you never have to worry about losing progress. It can also, by some sorcery, stay in standby for months (with a game running) and hardly drop a percent.
Games-wise, it has my most played game of all time, many of my favorite game across any platform and several guilty pleasure games. It also handles PS1 classics quite beautifully.
The Vita's coming close with it's brilliant hardware and access to games across every PlayStation system, but it's just not as practical a device. The only reason I don't play my PSP Go more nowadays is because it's not compatible with my new router so downloading games from my backlog isn't convenient.
TL;DR: PSP > Vita > DS > Everything else
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