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.
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.