Depends entirely on your preferences. Comparison:
Pros: Sleek/compact, 16GB built-in storage (no UMDs), downloadable games, large classic library, media player.
Cons: Limited backward compatibility, smaller screen, discontinued/no Sony support, less powerful than 3DS.
Pros: Glasses-free 3D, stronger hardware, newer games, larger screen, Nintendo exclusives (Mario, Zelda, Pokémon).
Cons: 3D can cause eye strain, lower resolution than modern consoles, more expensive, harder to find.
Choose PSP Go if: Cheap, compact, older games priority.
Choose 3DS if: Modern games, 3D, Nintendo exclusives priority.
Consider game preferences, budget, and availability.