Hah, that's awesome I've just recently also got myself one like this and it's awesome that you can actually play all the awesome older games there!
I've actually been doing some "historical" gaming posts lately, covering noteworthy games released in certain years (just made two about 93 and 2000) and I can't really pinpoint a single game, but my favorite would probably be the Zelda and Pokemon series.
Having been out of gaming for so long, I was shocked at how good portable games are these days. It's almost like a stripped down PS2 in terms of graphics and sound quality. The games do lack a bit of scale though. The feel a bit "mini", but it'll do until I get a Switch.