Xperia Play really should be avoided like the plague.It was one of those things that was hyped up until it's release, and then... nothing. The biggest, or more accurately, only splashes it ever made were the rumor articles floating around BEFORE its release. Xperia Play only piggy backed off the Playstation brand, and people were smart enough to not buy into it. All the Xperia essentially is, is an outdated Android 2.3 phone with a dedicated gamepad in place of a keyboard. Its not anything special that something like the Moga Pocket hasn't already perfected with current-hardware phones.
PSP really is as perfect as it gets for retro gaming. You get the same, if not better emulation support than GCW Zero at a third of the price, with 7+ long years of homebrew/plugin support.
Native PSP games (7+year library), and support for TV out with the right $10 cable, and a far superior screen size/quality. It also supports memory card sizes up to 64GB with the right adapters. 64 GB on PSP is far more useful than 4+GB on GCWZero. PSP 1xxx to nearly all the 2xxx series can be perm-hacked/flashed last I read, but the later 2xxx models to PSP Go models have their workarounds.
In my opinion PSP is still the 2nd best handheld option in all of mobile gaming right now, even if I havent touched mine in 2 years. Its sheer size of library and practicality of it's customizations makes it just as good as a 3DS+Vita combined, despite its aged hardware.