Atari 2600
Colecovision
TurboGrafx 16
Another vote for TG16. Obviously if you prefer pre-NES type games, then you want a 2600. Not sure how easy it is to find the adapter for the Coleco that lets you play 2600 games, so that might not be the route to go unless you really need to save on space (which renders the whole "you can get two consoles at once" argument moot).
Personally, those old pre-NES titles don't do anything for me, so not sure my vote really counts. I'd just rather play Splatterhouse or Neutopia than KC Munchkin or Pong.
[edit: And also if you decide you want TG CD games down the line, get a PC Engine Duo-R or RX. That way you can play PCE hu-cards as well, and it's gonna be cheaper than getting a Turbo Duo.]
2600 all the way. Endless amount of titles to choose from. Harmony cart option. Atari Flashback is an option. 2600's are cheap, reliable, and classic. Colecovision suffers from lousy control and poor reliability. Not recommended to the casual gamer. TG-16 be my guest, but there are so few games on cartridge. NES and SMS or Genesis are superior IMO. TG-16 much more expensive for games, harder to find.
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I voted for the Turbo. I love my Atari 2600, but for those of us who didn't grow up with it, it might be too primitive. The Colecovision has serious issues with longevity, since they were built with the absolutely cheapest components available. The TurboGraphx-16 has really interesting games. They all have a weird Japanese vibe about them that makes them feel kind of exotic. And the gameplay of its titles will be deeper than anything on the 2600 or Colecovision.