First game device I owned was the Genesis where my library of games went from good to amazing with Sega Channel, a download service for the Genesis. Yes, you downloaded games to play on your Genesis.
Got a Game Gear and would play that when out and about, things like Sonic and NBA Jam.
This is what always amuses me because many seem to get into some kind of nostalgia based brand loyalty, which I didn't follow suit with because right after the Genesis I jumped on to the PSOne, got a 64 late into that gen to play Conkers Bad Fur Day.
From there other devices from PC, Xbox, GCN, Wii, PS2, PS3, 360, GBA, PSP, PSV, 3DS.