You said that you wanted a DS lite what made you changed your mind?

What happens with the PSP Go when you run out of memory? Do you just have lose your games when you want to download more?

I would choose neither.

^ PSP Go will also have a Memory Stick Micro (M2) slot for expanded memory. So if you run out of internal memory you can just begin using Memory Sticks.

It has both swappable memory sticks and a USB connection.  You could store your games library on your PC's harddrive, and pick-and-choose which you wanted to take with you, if you didn't want to buy some memory sticks for that purpose.

Last week I picked up a DSi, hinge on my DSL broke (it's still usable, but eh) and I just decided to test the new one, plus since my Japanese dictionary is on the DS I can now finally play my Japanese DS games on the other.
I like the bigger screens, that's pretty much it. Was excited about the SD card because I happen to have a 32Gb one and I don't own an iPhone/iPod/mp3player broke, so I thought I'd use it for music but there is no cashing and it scans the card every time, which takes its sweet time with a card that size.

Then I also picked a radiant red psp-3000, to replace my psp-1000 (and to play ad-hoc with some friends who don't have a psp) and I'm not thinking of going with the PSPGo. Will wait for psp 2. I like the design but I don't think Sony will ever come up with a way to replace my UMDs since they are from pretty much any random region.

I got a DSi and I love it.

DSi

My views about the Go! being a complete downgrade are well documented.

Neither you should be getting:
DS lite or PSP 3004 instead of those.
DSL if you want innovative stuff and PSP if you want serious games with better graphics on the way.