Soleron on 23 March 2009
Must-haves (first-party):
GB(C):
Metroid II: Return of Samus
Mario Tennis (seriously, best handheld tennis game ever)
Super Mario Bros. Deluxe (has SMB, SMB Lost Levels and the awesome You vs. Boo)
Link's Awakening
Pokémon R/B/Y
Pokémon G/S/C
quite a few Super Mario Land games
GBA:
Metroid Fusion
Metroid Zero Mission
F-Zero Maximum Velocity
Advance Wars 1/2
Mario Kart Super Circuit
Pokémon R/S/E
Golden Sun 1/2 (might as well be first-party)
