Game anywhere you want with a handheld gaming console. So you can also play your favorite games on the go. There are different handheld gaming consoles. For example, the Logitech G Cloud works with cloud gaming so you can play games without installation. On the ASUS ROG Ally and the Lenovo Legion Go, you can download games directly ont he device. With a handheld gaming console, it's important to have a stable internet connection.