Now that we have MSX emulators for portable devices (fMSX S60, fMSXDS etc.) I would like to know what are the best MSX games to play on these devices?

Expetially phone keyboards are typically very bad for gaming, so you can practically forget all shooting games and multibutton reaction games. Mobile gaming is usually also splitted to many short gaming sessions, so big strategy/adventure games are not the best choise either.

I have not yet found too many good games, that I would really like to play on my phone, but I hope you can give me some good tips.

Some examples of good mobile games I have found so far:

Ping Pong (Konami): Addictive and simple controls.
Fireball (Hudsonsoft): Best flipper for MSX. Bad thing is that you need to redefine controller setup.
Match Maniac: Puzzle game.

Maybe not like your style, but SD-Snatcher is quite playable on my Nokia 6260! Simply make use of the save states ('Oh, it's time to change trains already... *flip-close phone*... hah, let's continue playing... *flip-open phone*)

I absolutely -loved- playing magical tree on my 6600.. Now I've got a 6681, Aleste 2 is quite a treat as well..

The new Griel's Quest for the Sangraal is very good game for mobile playing!

snout: I've tried to play few shoot em's with my 6260 (including Aleste 2) and it is really not pleasure... If I use the original cursor keys, I push wrong buttons, I can't see the screen behind my fingers, I can't fly other than U/D & L/R directions and after 5 minutes my fingers really hurt. If I redefine the keys to numbers the playability is a bit better, but it is practically impossible to handle cursors and firebuttons at the same time.

Last week I used to play Family Biliards on the way to work.

Great Pack-In-Video classic as well, but I can imagine that the playability of that game is a bit poor, as some pixel rows/columns tend to be suppressed. On the other hand, plenty of time to aim, because of the turn-based element.
Great suggestion, NYYRIKKI!