I play on my Gameboy Advanced. Ok, now get done laughing.....Done? Ok, really check out Virtual Kasparov. Many different players with different levels and techniques, includes tutorials, an opening library, strategy, etc.
I take it with me all over and play chess while waiting in line, etc.
The price on them is dropping fast since the new Gamboys come out right before Christmas. Right after Christmas (and the new Gameboy is on the streets), the Gameboy Advanced will be dirt cheap.