I've found a few *I* consider great on the PSP so far. Metal Gear Acid held my attention all the way through, funny since I don't generally like strategy games and definatley no card-based games. A great game IMO with lots of depth and a good length. The difficulty seems just right as well.
I keep going back to Wipeout... man that game gets friggin hard at about halfway thru... but it's addictive... I sit there playing each course multiple times now, memorizing it, mastering it... and am slowly progressing further and further. And loving every minute of it.
I LOVE Ape Escape, while not AS good as Mario DS, it's very similiar in many respects, and really is a lot of fun. I only ever played the first few levels on the PSX version so this one is fresh to me. Lots of levels and lots of monkeys to catch! A few mini games as well though nothing too fantastic, the monkey boxing is pretty fun.
Lumines.... well... nothing much to say about that game that hasn't been said already. Possibly one of the best puzzle games ever, right up there with Tetris and Super Puzzle Fighter II.
Tony Hawk is great *if* you're a fan of the series... it's just like the PS2 version but with more levels... can't go wrong there.
Hot Shots Golf... very addictive and VERY long.... you can play this one for a very long time and still not even be close to unlocking everything. Much easier to control than Tiger Woods... I imagine anyone could pick up and play this one w/o much difficulty, though it gets harder later on. I'm not even a fan of golf but I love this game.