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Jalocin said:
 

What is the benefit of downloading it from psn store instead of buying the UMD?


You can carry 10-15 games with you all in your pocket.  You can't carry that many UMDs.  Also extends battery life and faster loading times.  You can place them on more than one PSP so if your brother/sister wants it they can have a copy.  If you lose your PSP and games you can always download them again free.