With an R4DS from Gameyeeeah (for example), and a MicroSD card (the R4DS provides a USB MicroSD card reader), you can transfer files and run them on a Nintendo DS/DS Lite. Then you can use the provided media player, run homebrew software like NitroTracker, or get some of the DS ROM packs to try out games.

I can highly recommend buying Yoshi's Island if you like platform games: it's based on the same engine as Super Mario Bros, I think, but with more cartoony graphics. It's probably the most delightful, ingenious, well paced and designed game I've played (with one level left to go, which is a pretty hard one).