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The point is that if you own both, you can play a game at home on the big screen, and then during the work/school work, you can take the same game on the go. You don't have to be playing different games on different systems.

Or, obviously, if you don't own a PSP at all, you can still play PSP games on your PS3 -- and there are a LOT of good PSP games, actually. It'll be extra cool if they get upscaled/smoothed.

This is one of the reasons I bought the PSP Go, actually -- it lets you hook up to a TV, and use a PS3 controller to play. If this feature had been present in my PS3, I may have chosen to just buy PSP games on my PS3 instead.