I think I am a good person to answer this
PSP what you can do:
Play games - not just games you get from the shops, but also old school games, like super nintendo, megadrive, etc. Plus a whole array of (mostly crap) homebrew games although there are a few gems in there
Play music - plays mp3s straight off the memory stick
Play videos - Either UMD movie disks bought from the shops or converter mpeg files, there are free tools to convert any movie to the psp available for download.
Sony PSP + Grand theft auto + largeish memory card = lots of fun