I have both, though a few months ago, I was just like you and wondering which one I should get.

I have so much more fun with my DS because I have a lot more games for it, but that's because I had a friend who gave me a lot of his games. However, the PSP seems to have the some of the stronger/more appealing titles, IMO. Of course, that's dependent on your preference.

All I need is a PS3 when FFXIII comes out, and I will be set with everything! Bwa ha ha!

I am crazy.