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I've been pleasantly surprised at the multimedia capacities of the newer PSPSlim. Nice screen, affordable price, and the firmware keeps getting better, so you're buying a machine which will get better over time.

Also, there's no limit on how much media you can store on your PSP - just plug in a new Pro Duo (there are now 8 GB and 16 GB stix, and prices will continue to drop). This summer I moved my entire CD library onto my PSP -- plenty of freeware converter programs can do this (e.g. VLC). Ah, the joy of alternating swathes of Berg's "Lulu" with Dr. Octagon...