I have got a PSP to play PS1 games and I am playing through Final Fantasy VII (on disk 2 now) and Tomb Raider. It is also pretty good for Gameboy Advance emulation but the SNES emulation is not so good. None of the PSP games I have tried are anything special, Ridge Racer and Wipeout were okay and MGS: Peace Walker would have been good on PS2 but controls are not so good on PSP.
You sold your XBox? I am considering getting one now as I think I prefer original XBox games to 360 games. I would want a modded one so I can install all the games to hard drive.
The Wii is superb for Retro gaming, especially if you have it modded or soft modded. It is a shamer the ZX Spectrum emulator has such a poor interface as it is a pain in the arse to set up keys and such like to play a game.
I recently worked out how to get a USB hard drive to work with my Wii and that has really opened it up. I have a 500GB external hard drive with loads of videos on for WiiMC and all my games are installed to hard drive too so I do not have to bother with discs anymore.