1. Yes you can, you just need to buy a memory stick for it.
2. Not that I know of, I think they're about the same.
3. Good question 
4. You can check Sony's Media Go program (downloadable from their homepage) and see what they have on PSN from there before you get a PSP.
5. The Go has Bluetooth and can have a Dualshock 3 connected to it, if you'd rather play with that (that's mostly for use when you playing the PSP via your TV though).







