I've mostly played consoles in my life, although in the past few years I've gotten into PC (mostly looking at older titles, though). Lately, though, I am playing virtually nothing but handhelds. Hacked my PSP firmware to play PS1 images, and I ripped a few Playstation games that I had been meaning to get around to. I've had more marathon sessions with my DS lately than I have with my PS2, despite the considerable number of console titles in my "Been meaning to get to" stack - and most of them, I've done while sitting in the same place I'd be sitting if I were playing a console.
Much to my surprise, I find that the exact same game with the exact same loading times and control system often seems more fun when you play it on a handheld (even ignoring the suspend features). I think this has something to do with the depth and complexity of the games.
It used to be, PC was where you'd go for games with a lot of depth to them, and console for the shallower ones, and anything that you could play in ten-minute bursts was on handhelds. This was just a matter of logistics. A keyboard and mouse make a more powerful input device than a controller, and a monitor can display more information than a TV screen, so the games that involve more information going to and from the player required a PC. We use our television for extended passive entertainment, so the games that are less cerebral and slower-paced ended up on the televisions. A quick and simple game can be played anywhere, so they got put on handhelds. If the game uses a network, you'd put it on the network-capable hardware; if it was for a group of people, you'd put it on the hardware that a group of people can use at once. Simple enough, right?
I would say that this trend peaked around 1996 or 1997. The PC games released at and around 1997 had the most meaningful depth of any PC game. The console games of that time were the most suited for parties and marathon gaming sessions. The handheld games were already simple and quick, though Pokemon was reversing the trend. (Pokemon, in fact, was sort of prophetic of where I'm going with this). Since then, all of our gaming hardware has become more PC-like. Our consoles and our handhelds are network-enabled. Screens have gotten bigger and sharper. We've solved many of the UI problems that limited the bandwidth between game and player, and also added more buttons.
Increasingly since 1997, consoles have been able to do the things that you used to need a PC for. And, increasingly since 1997, consoles have been used for the types of game that you used to play on PC. With the exception of Goldeneye (and I don't think that game's 1997 release is a coincidence), first-person shooters were entirely played on PCs, simply because of the console interface. These days, Halo outsells everything, and the PC version is considered the inferior one. Console games as a whole have gotten more complex and PC-like, and a lot of development shifted from PC to console. Unfortunately, the only new gaming-related abilities that PCs developed in this time were incremental improvements, so nothing rushed in to fill the gap for a while.
Something else was happening in the mean time, though. Handhelds got more buttons and bigger screens, too. A lot of the games that you used to have to put on console due to their complexity could now be put on a handheld. This is just an example of the games going to the medium to which they're suited best. In other words, a lot of games that were being put on console actually feel better on handhelds, once the technological barriers are removed. The style of the games hasn't changed much since 1992, though they certainly look and sound a lot better; they just fit more naturally on handhelds. Why is that?
I think it's the size of the screen. When you park yourself down on the couch for a gaming session, the game dominates the room and everything in it. Whether it's a home IMAX or a ten-inch black-and-white thing, fifty years of interior design have made the TV a central element wherever it is. If you're in front of a TV, the TV is in charge. You can change the channel, but it's still showing something. You can turn it off, but then there's no more reason to hang around that room. A TV screen dominates. If you are playing a game on a TV, then you are committing yourself to that TV.
This seems kind of contradictory to the whole idea of games, which is that the player is in control. Sure, sometimes there's no problem committing yourself to the TV. However, doing this carries an implicit agreement. In exchange for your undivided attention, the TV agrees to entertain you fully. Putting a really deep and engaging game on your TV is just another way of getting that entertainment.
When that game isn't very deep, however? The TV's entertainment standards are awfully high. For a while, shallower games were able to get by on a TV by becoming prettier, but players soon got wise to such tactics. So, the shallower games moved on to the handhelds. That's not to say they're objectively shallow; heavens, no. They're only shallow in comparison to the PC games that are moving into console territory. They're just shallower.
A handheld does not have the issues that gaming on a TV has. If console gaming evolved from watching TV, then handheld gaming evolved from reading a paperback. It's much politer than a TV. It only takes as much of your attention as you're willing to give it. If you want to set it down, you can pick up right where you left off. Unlike a TV, you are in charge in the relationship between you and a book. The trade-off? The entertainment is much less dense. It's shallower, in its own way. On a TV, you have words, music, and moving pictures. In a book, all you've got is words and maybe still pictures.
Handheld gaming is the same way. The entertainment is not as dense, but you're in charge of it. The game isn't as deep, but you're playing it on no terms but your own. Once the user interface for handhelds became sufficient for the shallower console games, they moved right over. These shallower games simply didn't have the entertainment density to fill a television. If you try them on a TV, nine times out of ten you're going to feel like the TV isn't living up to its end of the bargain. On a handheld, you've got the densest little entertainment source that ever fit in your pocket.
And as for myself, I just prefer shallower games much of the time. Or I don't like all the cruft that is brought along by the deeper ones these days, anyway.
As for why PC games are going to consoles, well, that's simple. Aside from typing, consoles can now do virtually anything a PC can do. When you go to play your deep, complex game, why would you use a chair and screen designed for working, when you can do exactly the same thing with a chair and screen designed for entertainment? Games were put on PCs because the PC was the only thing with a sufficient interface, but gaming on a PC is really just a hack. A workaround. If you're spending all day at a work machine, you might as well figure out some nifty things to do with it, right?