My 'favorite' handheld was the original Game Boy. But that's only because of a huge list of reasons including it being my first, it having some of my favorite games of all time, the massive nostalgia attached to it, the years I spent playing it, etc.
However, in the last 5 years, my DS has quickly become just as strong of a gaming device, if not better. I would venture to say that the DS has surpassed the Game Boy and GBA in all ways that I can see. So I'm a bit mixed in voting. I'm sure that by the end of the DS' lifetime, I'll be saying the DS is the true king.
Edit: I'm sure by the time I'm playing Dragon Quest IX on my DSi XL, I'll be claiming the DS as the best handheld device ever concieved. The one thing I always dreamed of for the original Game Boy was not Color or Touch or crisper graphics, but just a bigger screen. And the DSi XL is doing that for the DS...WITH all the other stuff included.