I do. Mostly because of the conveniance - instead of having to find the right cables, untying them, pluging them in, having to find a power chord for the console, tv, converters, I can just pick up a console and start playing. Also, my TV is a soviet 6inch black and white TV. So not the best to play games on.
There are days where I prefer console over hand held. I also like playing games on a large TV screen too. Playing games on a small screen is nice, but holding a controller and playing games on a TV screen, is my style most of the time.