Well it depends much on the consol you want to develope for. The most activly developed consols are curently Gameboy Advance and the PS2. By far the easiest and most fun to start with is Gameboy Advance. There is a very supportive comunity that has a very active chat channel on mirc (effnet #gbadev) and many websites devoted to getting started. A few places to start:
www.thePernProject.com <--my site which has everything you need to get started including all the tools and nearly a hundred pages in tutorials.
www.gbadev.org <-- a great news site were you will find many tools and demos and lots of other tidbits.
www.devrs.com <-- one of the best collections of knowlage and facts on the gb gbc and gba available. Even better than that provided by nintendo to their official devers I have been told.
These sites will lead you to all the others if you need more. Most of the other consols also have and active following. Dreamcast is still quite popular www.boob.co.uk is the place to start with that. Atari is actualy still being done by an elete few (it is quite the system to code for) and there is even a decent tutorial at: http://www.atariage.com/forums/viewforum.php?f=31
nes is still going although I am not sure were to start on that one. THat is about all I got for starting out. If not what you are looking for there is allways google :)