What is a good first retro handheld?

Start from the ceiling you actually want, not the biggest spec. If SNES, Genesis, PS1, and GBA are the goal, an inexpensive entry or mid ARM device clears that band for very little money. If you want PSP, DS, N64, and into the PS2/GameCube era, step up a chipset tier. Prioritize hall-effect sticks and a decent screen over a marginally faster chip you will not feel, and favor a reputable brand with firmware support. Use our Emulation Ceiling Finder to match a tier to your target before you shop — and remember emulation covers games you legally own.