Very tough to compare. There's a selection of them, in there, that actually have a good reason for a vote. Heck, from a straight technological build-quality point of view, I would even still vote in the Neo Geo Pocket Color. These are my opinions for my choice.
1. Best controller I've ever used on a pocket system. The click stick has given me flawless control where others falter. Yes, even the rather nice Nintendo ones.
2. Battery Life. Heck, I can't find any technology with any kind of pocket-sized aspect that can beat the Neo-Geo Pocket Color for battery life. And while today's technology of rechargable batteries have improved to allow a good battery life for higher speed processers, Neo-Geo was way ahead of its time. It was using a 16-bit processor and practically ran on Potatoes. Who else, for any device that has a screen display and plays music or videogames, could ever claim to take 2 AA batteries and get 40 hours out of it. Not only that, it was the plain honest truth in practice.
3. Good screen for its time. While not as impressive as Lynx or the Nomad, it understandably stuck with the main competition (Gameboy). Most likely that, and some good use of lower-power-consumption hardware, is why they could squeeze a lot more out of it. It also was sized to compete, not being too bulky.
Nowadays, the competition is pretty fierce. Hardware-wise, it's kind of crazy. Still, my vote would probably go out to some of these Palm devices. They're kind of like the Personal Computers of the pocket industry. They've grown to have many utilities like a full blown computer of yesteryears, have impressive processors in them, and generally do more than the console equivalents can do, in total. While most lack in good gamepad controls, they do just about everything and (without going through hoops) support some good emulators for your old-vintage gaming needs. Of course, just like the fullsize PC/console comparison, the console ones are generally cheaper but less accomodating to homebrew.
From a console perspective, the PSP has an amazing amount under the hood. I think the hardware is impressive and has some good multimedia capabilities. I do like the widescreen, but oddly enough, it still seems the Palms still win in the multimedia aspect. They currently have better multimedia software (that anybody using them can install) and can run longer. However, for the price, the PSP is a great buy if you use it for everything it can do. Sadly enough, it's game selection leaves a lot to be desired, but its potential is immense.
Of course, once a real quality realtime Dungeon Crawler comes out on a pocket system. That will change the climate a bit. Right now, the few selections we do have are extremely watered down versions of the Dungeon Crawler aspect. It's like they make the PC ones, water down the full console ones (but to a more acceptable and still fun to explore degree), and then water them down further for the pocket systems. It's to the point that because you don't really see much in good things coming, that it's not even that fun to explore in the pocket Dungeon Crawlers.