Although I also have both a DS Lite and a PSP (and have owned GBAs and Gameboys over the years), I would have to say that my DS Lite is my favorite.

Not that many games struck my fancy on the PSP, and besides that - I found the grip a little strange and uncomfortable. It's probably not that different with the DS lite but on that system, I found more games that are to my taste so the discomfort factor could be ruled out.

It was very weird to play one of the Katamari games on the PSP it was a lot of fun on the PS2.