1. Yes, you can transfer all of your downloaded content to another PSP, like a PSP 3000. Just be aware that the PSN account you purchase your content through can only be linked to one PSP at a time. It hasn't been announced yet whether all of the purchased content can be transferred to an NGP.
Edit: Actually, I think EncodedNybble is correct. You can have a maximum of 5 PSPs linked to a single PSN account.
2. Sorry, I haven't played on a PSP GO before.
3. It's very simple and quick to transfer games from a PC to your PSP. It's also very simple from PS3 to PSP.
4. Games? A few that come to mind:
- PixelJunk Monsters Deluxe
- Final Fantasy IV: Complete Collection (if you're a fan)
- Metal Gear Solid Peace Walker
- Crisis Core (only available on UMD, unfortunately)
- Final Fantasy Tactics
- Jeanne D'arc
- Patapon
