Zero no Kiseki and Ao no Kiseki from Nihon Falcom are two of the best JRPGs to date, and they're PSP/Vita exclusives to this day ... unfortunately. The story builds up in a really satisfying way, and although I don't think the long term build up for the Erebonia arc ever went anywhere interesting (creating some less than exciting developments if you go back to it), the main story for both games is an incredibly engaging one. Let's call these PSP games.
After that, I find Metroid Zero Mission to be a joy. I know people aren't totally fond of the Zero Suit, but I Found it to be an exciting inclusion. I haven't played Fusion in years and years (it's sitting on my Wii U), and never completed the game, but I have a feeling it would come next after it. Game Boy Advance.
After that, I'd say the 3 Ace Attorney games, which debuted on the Advance as well. Great fun.
There, five games.