Good choice on the PSP. Unless you want retro side scrollers or games that are heavy on touch and click the PSP is the better of the two handhelds. DS is good if you prefer playing TicTacToe, Crossword, Designing Clothes, Brian Age, Memory Game, Chess, see how many ballons you can pop by pointing at them before the time runs out etc.
The touch screen does an awful job for action games. StarFox you have some ridiculous scheme where you draw things on the bottom screen to do different moves. Draw a an 'X' so do a barrel roll. Tap the left of the screen to shot your vulcan, tap the right of the screen to shot missles. The majority of the games are like this. Zelda, awful control, Metriod, awful control.
Then there are DS games with the Sega CDesque to them. Solve some murder in a hotel as some kind of lawyer. Asphalt for DS was the worst racing game I've played in awhile.
The only games I played that I thought were worth playing, without some ridiculous controls or double screen gimmick or a port from the N64, SNES that I've beaten to death, were Mario Kart and The New Mario Brothers.
PSP gets your 3 Socom games, RachetandClank, Clank, JoanD'Arc, God of War, Medal of Honor, Killzone, Resistance, Final Fantasy, Syphon Filter, Metal Gear, Need for Speed, MidNight Club and of course download stuff from the PSN onto your memory stick, not possible with the DS until the DSi comes here.
PSN: EDguila
PS3 library: Motorstorm, Assasin's Creed, Orange Box, Uncharted:DF, Metal Gear Solid 4, Resistance:FOM, Rachet & Clank Future:ToD,
Near future: Folklore, SOCOM Confrontation, BioShock, Little Big Planet, Resistance 2.
