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You can download games on your PS3 and get them via wireless or USB I'm pretty sure. Your PS3 will act as a wireless hub for the PSP, if you have the PS3 wired to the internet -- you don't need a separate wireless hub or any such thing -- the PS3 will act as one.

You can also get games via a PC/USB, or with a direct wireless connection.

 

I have a treasure trove of PSOne classics, and a few PSP games, lined up for my new Go already (they won't fit on my PSP-2000, and heck if I'm going to blow that money on old mem sticks for it, instead)... Oct. 1 is almost upon us!