Adafruit's PiGRRL is one of the best little DIY portable game devices out there, and now they have put out a guide that shrinks it down even further using a Pi Zero. Like the PiGRRL, this project is powered by RetroPie. Aside from the Pi Zero, you'll also need a variety of adapters, the screen, battery and the 3D printed case and buttons (which you can have someone else print if you don't have a 3D printer). You'll also need to do some basic soldering, but it's not terribly complicated. The end result is a miniature console that can actually fit in your pocket pretty easily. Head over to Adafruit for the guide and all the files you'll need to make it for yourself.
PiGRRL Zero [Adafruit]