I've been pondering the same choice, along with another device thrown in (PSP 3000), so I'll explain my opinions and biases, even though you've already given a decision.
First of all, I am tight with my money. I owned a first gen iphone, and am considering a 3G iPhone, I am also considering a pandora and a psp 3000. In my mind, I can't justify owning more than one as their uses would overlap too much, and I already have a F200.
1. iPhone: great integration of functions and software, plus the apps. Can be jailbroken + icontrolpad for retro games. Excellent mobile browser. However, there is a 2 year commitment and a 30 dollar a month data plan. That is expensive, especially when you consider how much monthly subscriptions for this or that can add up. I don't mind the fee, because I used the features. However, now I have no data plan. I will not pay for it unless I can expect the same experience from the first iphone, which really only the iphone delivers now.
2. Pandora: pricey, but perfect features for retro gaming. Other downside is that there will be few commercial or homebrew games for it, and you can't use cellular data networks. Sure you could tether, but then you're also paying for a cell phone data plan on top of it.
3. PSP: Great price and good selection of commercial games. Good emulation capabilities. Lack of multi-faceted features like the pandora and Iphone have.
I still haven't really decided. I'll most likely sit on my hands on a while and see what develops over the next couple months.