A lot of solid recommendations - here are some of mine; I have a variety of different games/interests: Split/Second Jikandia Every Extend Extra Platypus Frantix Untold Legends; The Warriors Code Brave Story; New Traveler Fat Princess; Fistful of Cake Pursuit Force - Extreme Justice Capcom Classics Collection Cube Practical Intelligence Quotient 2 Jeanne D'arc Snoopy and the Red Baron A few JP imports: Vulcanus Black Rockshooter Gunhound EX NeoGeo Heroes Umihara Kawase portable
Qix++ - absolutely essential! Space Invaders Pocket - worth having just for Majestic Twelve and a +1 on Every Extend Extra - a work of genius.
If you are into turn-based strategy games and dark medieval-fantasy (Game of Thrones style), then I would highly recommend Tactics Ogre: Let Us Cling Together. I haven't played Final Fantasy Tactics psp, but the gameplay is extremely similar to Tactics Ogre from what I've seen of it (made by some of the same people too). I hear Tactics Ogre also has the better framerate of the two, and less ways to exploit the game to make it easier. I probably sank 80 hours into the game from start to finish. Even then I did not do everything (multiple endings, secret epilogue chapter, bonus dungeons, etc.). Killer soundtrack too.