You have to remember that MHZ does not have something to do with speed.
PocketPC, phones, Iphone... are actually using ARM architectures : This sort of CPU's does not have any floating-point unit (but they are much more battery friendly than any other CPU).
Remember : Pentium and Cyrix CPUS (X86 architecture) : The Cyrix floating-point unit was very slow, compared to the Pentium's one. That's why, in term of performances, a Cyrix clocked to 200mhz was equivalent to a Pentium 133mhz.
There are several architectures : ARM, RISC, X86, MIPS... They are stricly incompatibles, and each one does have his advantages (Microsoft Windows does only run with X86 hardware for exemple)
Back to our ARM CPU's : It's a very slow CPU because of it's lack of FPU. And FPU is very important for games (ex : transformations, lighning...), multimedia (ex : encode/decode video...) That's why emulation with decent speed on mobile devices is something very hard to achieve.
Another thing... Consoles does have many CPU'S in their hardware : One for sound, one for graphics, one for inputs,... So, 33mhz (PSP, main CPU) is a thing, but it's not the only CPU to emulate in this console...
And a CPU built in a console is only dedicated to one task : games... A CPU in our mobile devices are designed to be "multifunctions" : They have to hang Windows (or any other operating system) kernel, services (phone, leds, touchscreen, gdi...)... It does heat many ressources.
Some links : http://en.wikipedia.org/wiki/ARM_architecturehttp://en.wikipedia.org/wiki/X86http://en.wikipedia.org/wiki/MIPS_architecture