Here is a list of the cheat devices available and what advantages and disadvantages are presented.
BC = Allows you to boot backups with cheats using a no-swap modchip.
Action Replay2 V2 (AR2/GS2 Dongle Required) BC
Same as the GameShark2 with the exception that this was a PAL cheat device originally.
Action Replay MAX (AR2/GS2/ARMAX Dongle Required) BC
This was Datel's latest innovation, it has a nice looking interface and a lot of features like being able to update your AR via internet. DVD Region Free and some other features. The problem was that it is too slow, it takes a while to load the codelists ect.
Action Replay MAX EVO Edition (Memory Card required to save codes) BC
Pretty much like the regular AR MAX, but here you have a media player which in my opinion is useless. I rather stick to the Reality Media Player. The AR MAX also lets you boot homebrew software and you are able to play Sega Genesis games on it. But the codelist loadtimes range from 2 to 3 minutes. Which is pretty damn slow.
GameShark2 1.3/1.8/2.0 (GS2 Dongle Required) BC
They are pretty much the same thing, with the exception of code updates, the latest versions include more codes. It was a half reliable cheat device back in the day since almost everybody had problems booting the disc up.
Code Breaker 2 (Fire) 1.0-3.3/4.0/5.0 (6.0-BC) (Memory Card required to save codes)
Here 1.0-3.3 (same version) was the best one since it had the ability to use old GameShark2 codes with the 1456 extention. The other ones had that feature removed. Also all of them use HEX codes as well so you are not stuck only with the Code Breaker encryption.
Code Breaker 2 (Pelican) 7.0/7.1/8.0/8.1 (Pen Drive/Keyboard Support) BC
The Code Breaker made by Pelican at least 7.0 was pretty unreliable since it had a lot of bugs which forced them to quickly release 7.1 with a fix and a code update. The interface looks like the old GameShark Pro for PlayStation. The Code Breaker 8.0/8.1 had the same interface as well, and it was pretty much a code update difference and with the addition of the new Day 1 feature which allowed you to save codes with a pen drive, so you woun't have to put in the codes by hand or using a USB keyboard.
Bottom line: Go with Code Breaker 8.1 since it's easy to use and CMX is always updating with new codes unlike Datel or wait for the upcoming V9 which will have plenty of new features.