A bunch of companies used to sell portable gaming systems in the past. The Pocket PiGRRL happens to be a portable gaming system you can build on your own using a 3D printer, a Raspberry Pi A+, a PiTFT 2.4″ 320×240 touch display, a speaker, a 2000 mAh battery, and tactile buttons. The design is compact, but you will still be able to play retro games on your own creation.
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The folks at adafruit.com have put up a fairly complete guide that shows you how to build your own portable gaming system. You can find out more information here.
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