With PSP you can get I-IX, which for the most part, is all you need to play. On PS3 I think you'll only miss out on FFIII but personally I like the PSP-only versions of I, II, and IV a lot better than the emulated PSOne ports you can run on PS3. On either one, you'll be out of luck on FFX until the HD version drops (soon I think), and depending on how it does we might be able to expect FFXII after that.

So PS3 in the long run will get you all of them except III but the PSP can have you on the best versions of I-IX right now.