The question is which will have the best emulation ultimately.
The answer is likely the GP2X, it is open and there are more people able to use source from pre-existing ARM SNES emulator's.
The PSP requires a mod-chip, or a lot of crapping around with backdoors to even use the emulator.
I am not such a fool as to spend my hard-earned money on a closed system that forces upgrades that kill my software, not to mention that SD is half the price of the Memory Sticks! $86.99 for a 4GB SD last I checked

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I bet that ultimately the optimization is going to overtake the other things the PSP may have over the GP2X.
Optimization requires the hardware be open for access. The PSP is closed, it can be backdoored into, but testing and coding are not nearly as easy as on a system with USB Samba and a Serial Telnet client for debugging.
Does the PSP even have JTAG?
The PSP is a bit better suited to emulation of the SNES as things like the ever-aggravating transparency work can be offloaded to operate on the GPU with some effort-- while the GP2X has to do this in software on the ARM920T. The 940T would be unlikely to provide an appreciable performance gain in this task. As for raw emulation horsepower for simulation of the 65c816 (CPU), audio and video hardware, the GP2x's ARM9-series and the PSP's MIPS processor appear to be about evenly matched.
The main tradeoff the PSP has to make, however, is that its display's aspect ratio does not suit the SNES' resolution nearly as well as the GP2x's does, leaving you to pick to leave a huge part of the wide screen empty, or to scale it out to the strange PSP resolution which looks very, very tacky.
Oops. I forgot the TV-Out, PSP is stone-cold dead for that feature

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I think great strides are being made already with the GP2X SNES emu, if it ever runs outside of Linux and rids itself of all hacks from the GP32, and adds all speed hacks for the MMSP2 (see sig), it will be the best.
One need only look here to see the major reason the GP2X is best for emulating the SNES:
http://www.retrousb.com/
Hint: does the PSP have USB keyboard/mouse/SNES USB joypad support? I thought not.