Stay away from Java Micro Edition! It has nothing to do with Android development. Java ME is an implementation of the Java runtime that is designed to work in low-memory, low-power environments. About 6 years ago or so, tons of apps were being made for it. But since the iPhone came out with basically no way to run Java ME games, the whole mobile industry has changed. Everything has gone much more towards the direction of app stores and mobile OS developers controlling the apps released through them. The 3 main platforms that mobile developers consider making games for today are:
1. iPhone: You need a Mac, pretty much. There is no way around that.
2. Android: You will use Java, but not Java ME. Java ME is all but dead in the consumer app development arena. Android apps can be developed on basically any desktop OS.
3. Windows Phone 7: You will use C# (and in some cases Visual Basic.NET, although that is just getting started) to create XNA games and Silverlight apps.
If you have a Mac, iPhone would be a good choice because there are
tons of tools out there for making iPhone games. The discussion is still ongoing about Android vs. WP7 development. I still think WP7 is a fertile market because there are so few apps on it; it is a developer's landscape, whereas something like Android could be considered more of a consumer's landscape.
EDIT: Ohh, and Chris has a point with HTML5 development. You can actually port HTML5 web apps into native mobile apps with something like
PhoneGap, so that your 1 HTML5 app can be instantly turned into several different platforms, such as iPhone, Android, BlackBerry, WebOS, etc. It does not include WP7 at this time, though.