I was into collecting these a few years back until I became obsessed with other distractions, including speakers and heaphones to name a couple. I managed to get a handful from garage sales, but quite a few came from ebay. I actually submitted some pics and info to the handheldmuseum site for some stuff he did not have. Most of my stuff is now in storage but I think I ended up with about 20 to 30 games. I started with the stuff I remembered owning as a kid in the late 70s and early 80s, and than branched out from there to get all the one I remembered wanting but never got.
I've got all the coleco mini arcade ones which are very collectable. Some other favorites of mine are digital derby, space invaders, battlestar galactica, fantastic freddie, merlin, and coleco head to head baseball. Although not a handheld, I also picked up an armatron; way too much fun.
Man, now I feel like digging them all out again.