I haven't owned an exhaustive list of handhelds, so my experience is fairly limited. Having said that:
[ul][li]Turbo Express/GT - Still an amazing looking system. thesteve's screen mod makes it that much more unbelievably awesome. I want that done to mine.[/li][li]PC Engine LT - Though I guess technically it's a handheld, it's not technically portable (meaning it runs off batteries), afaik. Still, it's a freaking thing of beauty (at least in magazines and on the internet).[/li][li]GBA SP - Basically a portable SNES with a killer battery life and amazing screen? And plays standard Gameboy/ GBC games? Sweet! I wish it had a standard headphone jack though...[/li][/ul]
Honorable Mention:
[ul][li]Neo Geo Pocket Color - If it had a backlit screen and there was a way to play its games on a normal TV, this system probably would have ranked higher, but I just never got into the system like I had hoped to.[/li][/ul]