The Game Boy brand almost made it 20 years, it was only a few months shy. Its eulogy was written when the DSi, without a Game Boy Advance (GBA) slot, crossed the ocean in April 2009. This DS upgrade represented a change in direction for Nintendo's handheld strategy. With the exception of the Game Boy Micro, all the Game Boy Advance variants could play the entire back catalog of Game Boy titles. Having missed out on the Game Boy Color, this was a major selling point when I bought the SP. Although the DSi marked the official end of the Game Boy line it was already more than a year removed from having its final new title published.
The last game released in the United States was Samurai Deeper Kyo in February 2008, it had been available in Japan for over five years. However, it was not sold as a standalone game. It was included as a premium in the DVD boxed set for the anime series of the same name. To find the last retail game released you have to go back a couple months to Let's Ride: Friends Forever, which is apparently some kind of horse care simulator.
Let's Ride: Friends Forever was the very epitome of the late GBA selection. In its twilight years the GBA became an inexpensive system for kids. For under $200 a parent could easily buy one with a huge stack of used/clearance games. Publishers spotted this trend and responded by dumping games with titles like Dogz, Catz, Horsez, and Box Jellyfishz.
I suppose I could consider it a shame that a great system like the GBA ended with a flood of shovelware. Instead I'm impressed that the Game Boy line reinvented itself one final time to squeeze out a few more years of existence. Looking at the other systems on this list, most didn't survive for three full years after their replacement hit the shelves. Heck, some didn't make it three years period. The GBA spent its waning days introducing a new generation to video games and probably laying the foundation for another 20 years of handheld success for Nintendo.
Educational game publisher GXB Interactive released a couple games around this time as well. Their specific release dates aren't documented and it is possible they may have come out even later than these two. However, only being available for online purchase removes them from consideration for this list.