I  loved Midnight Club 3 DUB Edition on the Xbox, so I of course got it for the PSP as well.  The loading times are just horrible, but the game is amazing and there is so much customizability in it.  Also, if you are a fan of Diablo-like games, Untold Legends was a great game for me.  Bad story though.  I wasn't a big fan of Untold Legends 2, however.  Although, there is some online play for it.  If you are a fan of old JRPGs, Valkyrie Profile: Lynneth is an amazing addition.  Also, if you are a fan of JRPG's at all, the Tales of the World: Radiant Mythology is insanely fun.  If you were in on the series, there are lots of references to the past games, but even newcomers will enjoy the game.  There is lots and LOTS of hours of fun there.  It isn't a turn by turn RPG like many JRPGs.  I have spent a huge amount of time on it.