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Some games like RPG's with complex battle systems or fighting games like Streetfighter or WWE Smackdown with complicated controls should have them.  FPS's, TPS's, Racers, Puzzle Games, etc. can go without.

Then again, most PSP games that I download from the PSN and ALL of the PS1 games go this route and it ain't that bad.  It will just take some getting used to.  Sign of the times, I guess.