A bunch of reasons :P
It's a very attractive media player (the reason I bought mine :D ) Far more useful as such than a game player sadly :x
Battery life while playing games bloooooooooooows. I have the upgraded battery pack, and I can get at most 6 hours of constant gaming with the brightness up all the way. The CPU in the PSP is some 3x more powerful than the competition, and it's graphical capabilities cripple those of the DS, same with the amount of content that can be stored, the UMD's hold 1.8 gigs of data, but man, none of that comes without a price. The battery life is morbid -_-; no joke.
Games are very similar to the consoles. That's just bad business all over the place, I LOVE my rpg's and I'm using my PSP to catch up on some great games :D But when it comes to new RPG's, or new anything the PSP has to offer, I'd almost rather they just make the game for the PS3 xD I prefer playing at home to a handheld any day. They need more games that are geared for portable gaming. Not a console experience on the go.
Piracy. I know about 20 people who own PSP's, and about 12 of them have hacked a PSP (ironically to play SNES games), but because it's already hacked for one reason, it generally leads to another. I would hack my PSP to download purchased games just for the increased battery life and reduced loading times alone.
From 0 to KICKASS in .stupid seconds.
