They both have a lot of great choices, but I guess if I had to choose one, I'd go with the PSP. You can download FFVII, FFVIII, and FFIX onto it from PSN, there's also Crisis Core, Birth By Sleep, Persona 3 Portable, tons of stuff!

But if you're more of a retro nut, the DS might be a better choice. It just depends, I guess!