If you want a safe and legal source, I'd buy it from your electronics store.
If you want safe, legal and cheap, eBay.com can give you ones at a discount.
If you want free and illegal, torrentfinder.com can give you that option.
...access anytime I want? Like people have those mini Pacman games copied onto their USB stick so they can take it and give it to their friends.
If I wanted a game from say, Nickelodeon.com, how would I do this?