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PSN expenditures come primarily from the storage and bandwidth needed for the following:

  • Storing and transferring all information pertaining to member profiles (friends lists, messages, Trophies, etc.).
  • Storing and transferring all content available via the PlayStation Store.
  • Storing and transferring all data required to make use of Home.

And of course any development costs inherent in offering such services.

They make money to cover Home via microtransactions and the content on the PlayStation Store should easily pay for itself overall.  Everything regarding player profiles is a sunk cost, which is what Microsoft covers with their Xbox Live fee.  However, I assume Sony makes enough via the store and other avenues to pay for this and then some.  They are also now adding microtransactions specific to player profiles that should help cover this, the first of which being premium avatars.