I am still waiting for the perfect retro handheld, I currently have my eye on the game girl which is pi zero powered with 8bit do buttons in a gameboy colour styled case. I have tried most devices and they all have their pros and cons.
N3ds - Probably the best currently if you don't want 3D games, and not that hard to setup if you plan it and follow all the steps. My personal gripes are the form factor isn't super comfortable to hold and the buttons and dpad are slightly too small for my liking. Also I play a lot of mega drive scrolling games and the ghosting in the background does bother me.
Gpd xd - Again the form factor and controls are similar to the 3ds and the dpad is slightly mushy although still perfectly useable. Works great with PlayStation games and even some dreamcast. Screen has no ghosting issues but after using the excellent lower res 3ds screen it doesn't look quite as nice for older systems.
Shield portable - A great powerful system, but boy is it a beast, not strictly all that portable.
Gcw Zero - Good screen and form factor, but the buttons and pad are not great. Build quality is a bit flaky as well.
Psp - The go is awesome but really it can't handle snes games well, controls and form factor are great though.
Pandora - Controls are great but the ghosting issue is also present on this screen and it cramps my hands really badly.