I really want to pick one up finally. Hoping for one that comes pre loaded with as many nes,snes and sega games as possible.
I have not, other than the mini snes that was released about 5 years ago. I recently bought a steam deck that allowed me to play downloaded roms from all of the systems you mentioned, but I had to find the roms online and follow a guide.
Not sure about handheld, but it's super easy to play on a computer with any usb controller. I also hooked it up on my fire stick and xbox controller to be able to play on my tv.
I have the super Nintendo and Sega ones. Both are good. I really wanted to play Streets of Rage and Road Rash. They're both good, but not as great as I remember (specifically Road Rash).