Pros and cons
I have all 3 of these devices (well, an iPhone not iPod Touch - but basically the same) and they all have pros and cons - but the iPhone wins for me for a really small reason - I tend to actually have it on me.
The PSP has a great screen and is such a nice shiny object - but slow load times, short battery life and bulky media (well, Sony had to do something with mini-discs i guess!) makes for a less than stellar experience.
DS is awesome - the best games (IMHO), great design (folding design is so elegant) and fun to play (touch screen etc..) but, well, it's a bit dull as technology. It's cheap, kinda feels cheap and just doesn't really excite me to want to get it charged up and carry it around with me for the day.
iPhone / iPod Touch - pretty sexy, no additional media required (as games are built in), good battery life, easy to use, a fair mix of games (though I agree not quite the dizzying heights of Nintendo) - but ultimately wins because... I tend to have it on me.
And as the quote says: "if you don't play the game, then how are you going to win..?"
I'll get my coat.