It depends what you prefer - a portable or a home console?

If a portable console, get either a PS VITA or 3DS and jailbreak them. It's incredibly easy, just one google search and the first page has all the instructions. You can then download regular VITA/3DS games, emulators, roms, romhacks, etc.

As for a home console, either a PS3 or a Wii. Again, it's simple to jailbreak/hack them so you have thousands of hours worth of content at your disposal.

Hope you find something you'll like!