Pretty much anything by Capcom, except Street Fighter Alpha 3 MAX, Viewtiful Joe Red Hot Rumble, and Capcom Classics Collection Reloaded (Remixed is much better). The best games out of the Capcom stuff on PSP would have to be Breath of Fire III (only released in Japan and Europe on PSP), the two Mega Man remakes, and Darkstalkers Chronicles. Capcom Puzzle World is great since there's an enhanced version of Puzzle Fighter II Turbo in it.

Other than that, I suggest:

Guilty Gear Judgment
Puyo Pop Fever
Castlevania: Dracula X Chronicles
PoPoLoCrois
Final Fantasy Tactics
Brave Story: New Traveler
Metal Gear AC!D 2 (fun card game)
Syphon Filter: Dark Mirror
Sega Genesis Collection (if you don't already have it on PS2)

EDIT: Forgot one little note. If you get Capcom Puzzle World make sure it's a brand-new, sealed copy, as the first batch of games had some bad coding that caused the game to stop working (partly Capcom's fault, but more the fault of the company that helped them compile the games). The used ones have a chance of being the broken ones.