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I don't think that's actually a totally wrong idea....the PSPgo bombed mainly because of its price and because it came out too late, also zero advertisment (at least where I live). Download-only games are some advantaged in terms of final price, not to mention that UMD had a lot of problems as an handled media disc in terms of battery life and hardware size.
And the success of Steam proves that 40$ for a downloadable new game is not too much.