I'm playing at least one on each handheld and several of the consoles I own.
Currently:
3DS - Fire Emblem Awakening with Etrian Odyssey as soon as I get around to beating the final boss. This has been the one I've been playing the most actively.
DSi - The World Ends with You, which I picked up when I went back to the US for Christmas. It's interesting, but it hasn't really grabbed me, so I haven't put much time into it so far. Everyone says it's amazing, and I do like the music and art, I just hope the gameplay catches up soon. Also got to the final boss of DQVI and got slaughtered months ago. Never got around to trying it again, so I should do that.
PSP - Tactics Ogre, bought it on release, put it down about 3/4 of the way through, have been meaning to go back since. Also, I have put a fair bit of time into Trails in the Sky, and I pick it up again every couple of months, but then I get depressed at how the next game will never be released in English, and it may be years before my Japanese is at a level to play it, and I put it down.
Wii - Almost forgot that I've been playing Xenoblade off and on for the last year. I'm pretty far, but I got bogged down doing side quests to unlock the skill trees and started to feel like I was wasting my time trying to raise city affinity. When I go back, I'm just going to plow through the rest of the story.
Super Famicom - Umm, I've bought every Dragon Quest and almost every Square game for the system, as well as Fire Emblem 3 and 4 (not ready to shell out for Thracia 776 yet). I started DQ 1 from the DQ collection thinking that I would be able to read it easily since I wouldn't need to worry about Kanji much, but the lack of Kanji actually made it really hard to look words up. I'll try again for nostalgia's sake eventually, but I may just jump to 2, which is the only game I haven't played much of in the series (maybe 1/3 of it about 15-20 years ago).
Famicom - Tried out both Fire Emblems. Having played through Shadow Dragon and also owning Monsha no Nazo, I have little interest in the first game, but Gaiden was extremely enjoyable. I also found it very easy to read and understand despite the lack of Kanji. I'm not sure whether I want to continue on my Famicom or get it for my 3DS.