Games- The tip for getting games, especially for PSP, is what you think you would play over and over and over again. The replay value increases if it has online capability. My favorites games for the PSP are SOCOM: Navy Seals Fireteam Bravo 2, Daxter, Ratchet and Clank size matters, Star Wars Battlefront II, Midnight club, and Either Grand Theft Autos.
Video- Having videos on your PSP really makes a difference on road trips. There are free programs on the Internet for converting videos into PSP forms, for example Orbit
Music- Unless you have a Ipod, the PSP is also good for just listening to music.
Pictures- Showing pictures on your PSP to your friends, and you can also set it as your background.
Internet- The PSP internet is fun when you don't want to carry your laptop around. It can't support large sums flash, so no videos, no games, no porn (unless its pictures:)