What is the purpose of this project?
a) Are you interested in the process of creation of such device (learning during the process, connecting the LCD to a PIC and programming it to display output on the LCD etc) ?
b) Is your interest into after you have assembled and programmed the device, to actually create games and play them?
If a) then perhaps setting some less demanding goal first would be more appropriate to begin with (I call that "proof of concept") ie. be able to display some graphics on the LCD from a PIC and such the go further.
If b) then dont bother creating your own unit, just get an existing one on the market and dig into the SDK for it. Here's the one I recently found and it looks like a pretty cool device (mind ya the price is not as cool):
http://www.tapwave.com/product/index.asp
Just my 2c