My question is this. How does it stack up against the competition like M3 and R4? http://www.divineo.com/cgi-bin/div-us/hb-ds-cycmicr
Well that is pretty old compared to new Cyclo slot 1 solution. I have heard that Cyclo has some features that M3 and r4 don't have such as SHDC support which is a really good feature. I'd say go w/ Cyclo because it seems as it is the "new" thing and they have great support.
I'm not familiar with Cyclo. However, an R4 and M3 (they're almost identical I think) can play NES with no problems. It can also play selected SNES games. To play GBA games, on the other hand, you need a slot 2 device card.
Yeah you will need a slot-2 device card also to play GBA games. A cheap($20) alternative is the EZ Flash 3-in-1 which can be flashed to work w/ Cyclo DS. xD