Game gear for me as well. When your a kid, your favorite console is whichever one you were lucky enough to own, be it a gift from a parent, or one you bought with chore money from a friend.
I loved my Game Gear. I always had the AC adapter, so I didn't actually burn through many batteries (never played in the car because the motion gave me a headache). Although I eventually had quite a few games, the ones that I played the most were Sonic 2, Mortal Kombat, and Spider-man/X-Men Arcades Revenge.
Nostalgia alone will probably always keep the Game Gear my favorite handheld, despite how awesome all the Gameboys, DSs, and PSP things that get made. That said, the Neo Geo Pocket holds a high place in my heart as well.
Something about an "Unsinkable Ship" comes to mind.