A plug and play game is an interactive entertainment device designed for use on a television set that integrates the video game console with the game controller. The game software is built directly into the unit, which is typically designed to look like a toy or classic game console/controller with the addition of two AV ports. These systems usually contain either highly specialized games or activities, or a collection of classic games. Thus, it could be viewed as a video game console without interchangeable game software.
Although several manufacturers produced these devices before 2002, such systems became better known following the release of Jakks Pacific's Atari Classic 10-in-1 TV game. Most manufacturers have their own trademarked names for these systems, such as Radica's "Play TV" or Majesco's "TV Arcade"; however, most retailers refer to all of them as TV games or Plug & Play games.
Source: Wikipedia, "Handheld TV game", available under the CC-BY-SA License.