My favorite console, at the moment, would certainly be my 3DS (right, some wouldn't consider it a console). But, wow, just so many good games right now: Bravely Default(s), Fire Emblem(s), now soon to be two of the best Dragon Quests, remasters of the LoZ games I grew up with. Just so much, I can't help but pick it up and play.
With regard to collecting, it's is a three way tie for me: GBA, NES, and GB. The NES, even though I was only about 6 when it was first gaining popularity,remained my favorite console throughout the 90's. Even when I had a SNES and N64 it still got more play time. For whatever reason, getting all of those games is really fun and nostalgic. The GB however, really was my system of choice as a kid. The hours spent playing Kirby and Tetris really bring back fond memories. As I have time to explore now, I'm really finding there are some great hidden (and not so hidden) gems for the GB that are great to play on my GB Player for GCN. with the GBA, I never had one growing up but holy cow there are some great games for this little guy too, and it is just fun to collect the ones that fall into my favorite categories (so many FF remakes...).