Oh yeah, i forgot about Elemental Engine II. It's free, open source, and you can export to Windows, PSP, Xbox360, PS2, PS3, Nintendo Wii and Nintendo DS/iDS.

but, it'll take a year to install it. You'll need millions of programs and download 1 GB. And you'll need an account in PhatYaffle to download it and access the wiki.

http://www.devmaster.net/engines/engine_details.php?id=572