I'm too lazy to wade through 5 pages of thread space so if people mentioned these games I apologize.
1. Jeanne D'arc (One of the best strategy games I ever played)
2. Megaman Maverick Hunter X (Megaman X remake need I say more?)
3. Gurumin (A gem of a game, old school PSX like game that's amazing, though childish)
4. Street Fighter Alpha 3 (Street Fighter Alpha 3)
5. Metal Gear Solid: Portable Ops (Infastructure mode is decent)
6. Killzone Liberation (Very good coop game. Good game in general)
7. Darkstalker something (All Darkstalker fighting games in one)
8. Tekken 5: Dark Ressurection (Very good port of Tekken 5)
9. God of War: Chains of Olympus (God of War PSP)
10. Capcom Collections (Both of them, arcade games are always good on the go)
11. King of Fighters Orochi Collection (King of Fighters 94-98)
12. Soul Caliber something (Soul Caliber on the PSP comes with Kratos)
13. Brave Story (Good RPG, though can't say much of the story, though I never got that far in it)
14. Outrun 2 (Good arcade racing. Good on the go)
15. Ridge Racer PSP (Arcade racer; the first and it's a gorgeous game).
16. Lunar (Remake of the first game I believe. Came out recently)
17. Castlevania: Dracula X (Rondo of Blood remake. Comes with Symphony of the Night as an unlockable bonus)
18. Gran Turisimo PSP (Heard it's very stripted down, but good on the go)
19. Tekken 6 (If for some reason you don't have Tekken 6 already)
20. Resistance Liberation (A good third person shooter).
21. Tomb Raider Anniversary (If you like Tomb Raider this port is very well done and it's very good)
22. Spider-man 3 (A good port of the PS2 version, web slinging fun)
23. X-men Legends 2 (A good beatem up if you got a few friends to play with)
24. Monster Hunter all (Fun game with friends)
25. Megaman Powered Up (Megaman the first... remake)
26. Final Fantasy Tactics: War of the Lions (Fancified Final Fantasy Tactics)
Well I'm not near my PSP collection to name you the few more stuff (No my collection isn't that big I'm just naming games off the top of my head.).
There a lot more, like sports games and such.