Congrats man. Here's a list some good titles:
GTA (both)
God of War
Lumines is a must have if you are into puzzle games even the least bit.
Before Crisis: Final Fantasy VII
Both Syphon Filters
Monster Hunter
Ratchet and Clank Size Matters
Ridge Racers 2
Daxter
Tekken
Mortal Kombat Unchained
DBZ Budoki
Burnout
The first four are pretty much must-haves. The best thing about the PSP is that I play games on it that I normally don't even like on consoles (Ratchet and Clank and Ridge Racers to be exact).







