Man it is up to you and depends on the type of games that you want to play, depends on if you want only a gaming console or a console that you can browse the internet from, listen to music and watch movies too [PSP], Let's see what do we got here:

1- Nintendo DS [Dual Screen]:
If you were having a Nintendo Game Boy Advance before and loved those type of games, you will also appreciate the Nintendo DS too. The graphics are much better in the Nintendo DS, but compared to the PSP Sony wins. The nice thing about the DS is the technology of the gaming experience itself, you are interacting with the device and games more than the PSP.

You can play with the pen, the directions buttons. It has also a wireless system the enables you o play with another person but not to browse the internet. If you can go for the old one it is better in my opinion than the Nintendo DS Lite. I'm not asking you to buy any of them, just check both of them before you buy and you will know the difference.
Price: 550 - 650 depends on from where you are going to buy it.
Games prices: 140 - 200.

2- PSP PlaysSation Portable:
This device in addition to the high graphics [the best among the same series of devices] got a lot of other features. It is more than just a console game where you can only play games. You can listen to MP3s, watch video clips and movies; you can browse the internet and view images too. You can play with other people using the built-in wireless system in the device.

You can upgrade the memory for it and you got variety of memory sticks that you can use:
1- UMD Discs, still there is none of them that you can write to.
2- Memory Stick Duo
3- Magicgate Memory Stick Duo

If you liked Playstation & Playstation2 games, then you will like this console too. Most of the games are based on the playstation2 games. If you were lucky and got the device with the old firmware, then you can download some of the games to one of your memory sticks and play the game without the UMD [It is kinda of complicated, but it worth it when you know that the game price can reach up to 220 Q.R !!!]

Price: prices are varied according to the package, some comes with only the memory stick and it would be cheaper [750 Q.R], others come with a larger memory and a game and it costs [800 - 900 Q.R] depending also if you got the game with the PSP or also the memory stick and the size of it.

Hope that was in a help for you

Best Regards