Generally it's just locked Cubes -- they're not as paranoid about GBA games most of the time, perhaps because they haven't had many high-profile first-party GBA titles lately. For instance, they just sent out an ordinary ROM of Mario Pinball Land.
I don't have a picture handy, but it's not much to look at. Just imagine a cheap sheet-metal bracket looped around a dark-green NR Reader debug unit with a regular old padlock holding it together. The setups for N64 games were actually a bit more imposing, that was a big metal thing covering the entire cartridge.
It doesn't really make a difference playing the game, unless you want to stack something on top of the Cube, and I don't, usually. It's already a pretty light console, too (at least compared to a goddamn Xbox or whatever), so it's not a big deal to carry around.
What used to be aggravating was not so much getting the games in locked consoles, but not being allowed to keep games sent for review. For instance, with several N64 titles -- Ocarina of Time, Jet Force Gemini, others -- Nintendo would send the locked console with a minder from their PR department, and the reviewing editor would have a limited amount of time to play through the thing while being constantly watched. Either that or you'd have to fly up to Redmond to play the reviewable version. In the GameCube era, however, they've lightened up on that score, so for most games (ever since Metroid Prime) they've just sent the locked console, let editors play it at their leisure, and then you send it back when you're done.
DFS.