My platform of choice is the Pocket PC, the main reasons being that the PPC games market is not yet dominated by all singing all dancing 3D engines, so a single developer top down 2D game still stands a chance of being relatively successful. It also helps that there are some decent libraries and community pages around for Pocket PC games development and that Microsoft Embedded C++ is a free download.
My development environment is as follows:
Microsoft Visual C++ for development on the PC and Microsoft Embedded C++ for development on the PPC.
PocketFrog game libray - gives a nice framework and means I can get stuck into writing my game loop without worrying about windows and message handlers, etc.
PocketHal hardware abstraction layer - nice fast abstraction layer for graphics that allows me to write my C++ code independantly of the target platform. This means I can develop and run the code on the PC and simply recompile it for an ARM processor when I want to deploy it to the Pocket PC.
Hekkus Sound System - Nice sound library that will handle playing all the music and sound effects for me.
Paint Shop Pro - Pretty much all my artwork.
ModPlug tracker - Easy to use tracker program for making mod files which Hekkus can then play.