I don't have a PSP Go so I don't have any hands-on experience with this but I know that they have CFW for both PSP Go and newer PSP-3000 models now (I've tried it with my Peacewalker Green PSP-3000, which were out less than a year ago). That should allow you to play those UMD-exclusive games I would think. After all, a PSP go is still a PSP. It's just a redesign without a UMD drive, a smaller screen and different form factor. Of course this solution is illegal. lol.
If you are not comfortable with experimenting with that uh "workaround" then you have to make a decision as to how important those UMD-exclusive PSP games are to you (Crisis Core is one of them btw).
In addition to the games already mentioned, I'd also like to recommend Dungeon Siege: Throne of Agony if you like Diablo-esque hack n slash loot fest games. I mostly play jrpgs on the PSP so having a Diablo-like wrpg to play was a nice change of pace. This game is a UMD exclusive though. The other ones I liked thus far were already mentioned I believe (Persona 3 Portable, Lunar: Silver Star Harmony, Crisis Core, Jeanne d'Arc). If you want to count PSN-exclusives, there's Cladun: This is an RPG. It's like a Japanese roguelike dungeon crawler but in real-time and it has that 8-bit charm to it. I just skimmed through the thread so I don't recall it being mentioned.
