If you only want a portable for music: iPod of any flavor you prefer.
If you only want a portable for movies: a portable DVD player with a 7 inch screen.
If you only want a portable for games: DS or PSP, depending on your preference.
If you want a portable for music, movies, games, browsing and photos: PSP + 1-2GB stick.
I have a 60GB iPod for music, audiobooks and photos, plus for portable file storage. I have a PSP and a 1GB stick for gaming, browsing, and some cartoons for the kid to watch. I also keep a few photos, but no music, on the PSP. I'd love to get a DS, too, but I can't justify another handheld system on top of the PSP and GBA SP.
As others have said, they are not direct competitors, regardless of what Sony spouts.