Heh - there actually *is* a Go board for the GP32, though it is very very very old. Check out PDRoms. No AI in there, and I don't know if all the rules are in it or not (does it, for example, recognise suicides or a Ko? Calculating scores? Dead pieces?).
Just got into the game myself after watching Hikaru no Go; darn good anime (remarkably... there's no bad guys, and a lot of what they spout in the anime is actually useful for playing the game in the first place
).
Oh, and the game is actually called Igo; just most of us in the West call it Go. Its also called Baduk in Korea and something else again in China...
Ok, so I know too much about this lol...
For those who haven't got a clue what this is, imagine a board 18x18 squares (though you actually play on the intersections of the lines, so 18x18 is really 19x19). There are two colours of stones - white and black. Black plays first - and who is black is decided, traditionally, by a process called nigiri (basically, the younger player guesses whether the older player has taken an odd or even number or stones from their pot; if they get it right, then they are black).
Play proceeds with each player laying stone after stone, attempting to gain as much of the board as possible without making themselves vulnerable to the other player taking their pieces or their territory. You take a piece - or a group of pieces - by surrounding them on all sides (except the corners).
For more info, and an interactive tutorial, have a look here
http://www.playgo.to/index-e.html