Amiga 500

Sega megadrive + addons.
The sonic games including CD and Knuckles Chaotix are amazing.
And Golden Axe kicks ass.

I feel badly I only supported Sega after it had left the console space. I had a Game Gear growing up, but that was it. Only as an adult did I buy a Genesis/Saturn/Dreamcast.

It really is a shame. Sega had a bold vision for video games, and the developers there really seemed to love making fun games above all else. For as much as Sega and Nintendo butted heads in the 90s, they were kind of kindred spirits. It's a crime we lost Sega and it's a shame Nintendo is losing mind share. Those companies were and are gaming companies, first and foremost. The game industry needs organizations like that now more than ever.

Mega Drive, easily. Dreamcast was also cool.

Genesis/Saturn would have been cool, but I never had one.

Dreamcast easily

Nokia N-Gage.

Dreamcast. Great games a-plenty on that one, and a good number of my personal favourites. Besides that one, I'd say the Philips G7000 (Odyssey2), though that could be nostalgia speaking, I had an amazing time playing on that one when I was a kid.

You. I like how you're thinking.

Dreamcast

With both 1994-2001 Sega and 2011-present Nintendo, it's especially hard to watch them fall because the developers themselves still make some truly wonderful games, but are let down by moronic management. 

PC Engine was pretty cool