Hi there !
First post for me. I'm a lurker (currently considering which portable gear could rock my HD-25 1 II to their fullest) and stumbled upon your thread and thought you might like my input.
I'm also an avid gamer, and especially a retro-gamer. I took appart my Gameboy Advance SP a couple of days ago in order to change its shell. Replacing the internal speaker is actually very easy. The speaker is not soldered to the motherboard, it just makes contact with it, and rests inside a cutout in the shell. You could easely replace it, or maybe add some wires to make yourself an analog output.
Regarding the screen, there are actually two versions of the Gameboy Advance SP, and the difference is the screen. The first one, called AGS-001 is the most common Gameboy there is, and has a rather dim screen. The button in the center of the console allows you to change the backlight and turn it off. Another version, called AGS-101, has a real backlit screen, and the difference is stunning. Depending where you are, it can be a little tricky to find one in proper conditions. I'm in France, and it cost me around 70 EUR to get one shipped from the US.
Here's a video showing the difference between the two screens :
As you can see there's also a great difference regarding the blacks. On the AGS-001, the blacks have a blue tone to them.