I was looking to build a handheld for my RaspberryPi, then found you could run emulators on a PSP - so I picked up one of those today and threw some SNES, Genesis, NES, and Coleco games on it. Pretty easy process, though the zipped EMUs could have been cleaner (a couple had extraneous files/folders, making it a little clunky to find what I really needed to do). I didn't get Atari 2600 or Neo Geo working on it yet.
Supported the local game store and they threw in a memory card, then turned out there was already one in it anyway. Also, they had a Slushie machine and gave me a free one - I hadn't had one of those in 20+ years.