Persona, Valkyrie Profile and Jeanne D'Arc immediately spring to mind. There's also remakes of FFI and II if you don't already have them. I recommend branching out a bit from RPG's though. Otherwise you'd be missing great games like;

Both Syphon Filter titles
God of War
Both Patapon games
Both Locoroco's
Echochrome
Medievil
Metal Gear Solid: Portable Ops

and probably some more I'm forgetting. You can also get PSX games on the Playstation Network and play them on the PSP so don't forget to check those out.