My personal favorites for the PSP:
God of War: chains of olympus -- eye bleedingly good graphics and stellar gameplay.
Street Fighter Alpha 3 Max -- in my opinion, the best 2d fighter for the PSP.
Tekken 6 -- in all honesty, I dislike the franchise, but its a good port.
Metal Gear Acid 1 and 2 -- the genre is hard to place. Its a card game/tactics type game
Disgaea 1 and 2 -- similar to the PS2 versions, with some additions (Etna playthrough, for example)
Persona 3 -- awesome RPG
Jeanne D'Arc -- very nice tactics game.
Gradius collection -- if you like gradius, that is. Based on the arcade versions of the games, not the home version. Very, very hard even on easiest level.
Macross Ace Frontier -- bad controls and camera angles and stupidly hard EX missions... but still, you're piloting a veritech!
Kingdom Hearts: Birth by Sleep -- Aqua's hot. Good gameplay, but a bit too easy in the action sequences and the board game is dull. Tip: don't play easy mode (despite what it says, its the hardest mode to get the true ending)
I suggest against:
Darkstalker chronicles -- bad controls. Well, not BAD, but certainly worse than SF Alpha 3.
Guilty Gear XX Reload -- worse controls; after two months playing it I still couldn't do a lot of moves with consistency.
Viewtiful Joe -- horrible, horrible graphics and an AI that cheats up the wingwang
EA replay -- god, I regret this. "It has SYNDICATE and Wing Commander!" Yes it does. The SNES versions of those games, which are horrible. And the controls are just bad.
Final Fantasy Tactics -- while this is FFT, which is an ok game, the PSP port is sloooooooooow. I'm talking about an attack taking 5 seconds or so to animate, worse with spells. Simply rotating the screen makes me want to gouge my eyes out.