I generally find programming for all portable devices is a blast (esp. since it's so easy to show off your creation to friends/family/co-workers). I used to be a big developer for the Pocket PC (think iPaq, etc). Really clean C++ developer environment with lots of support from Microsoft.

Programming for PSP is fun as well. Sometimes it gets nerve-wrecking with the limitations (at least back in the early days when I used to develop).

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