I have a PSP right now, but I don't find myself using it all that much. There are a few cool games, such as Lumines, Wipeout Pure, and Ridge Racer, but a majority of the games aren't that great. The most appealing aspect of my PSP is its ability to use "homebrew" apps, such as SNES emulators and there is even a way to get the original Doom to play
Personally, if I had the choice between an Xbox 360 or PSP, I would go with the Xbox 360 because I think its going to be around for a lot longer and have a much better lineup, and while the PSP is certainly a cool piece of hardware, it still needs to receive a lot of support from game developers.
You could always buy a Gizmondo
