www.psp-hacks.com is the best website to go to for psp modding and homebrew.
Its a great hand held that can play just about anything up to the n64 on it. I recommend getting a 2gig memory stick off of amazon.com for 30 bucks. You need that if you want to put stuff on the memstick. The ones that come with the psp are only starters, not much can go on them.
Read up on downgrading the firmware and try to get the custom firmware by modders, not sony. This has a ton more features and options. Also pull out some of your fav ps1 games because you can load them onto your psp.