For PSP I have Me and My Katamari, Lumines, and Grand Theft Auto, all of which are very good games. I mostly use my PSP for it's other features though: video and music. Rather than buy the UMD DVDs, I just put video on my 1GB memory stick.

So, basically, I have a DS Lite for the games and a PSP for the features. And I carry then both in my purse at all times with my cell phone and digital camera because I'm a technology whore. xP