That fucker beat me to it!!!
Well, if MULTIPLE votes are being taken into account about your choices, I also heavily recommend Chains of Olympus and Ghost of Sparta. Great games, and both magnificent ports of non-portable series into the PSP's controls. Feels quite natural, so you're not struggling with different button layouts and such.
More to the point....... really? You just bought a PSP? o.O I mean I've got nothing against the PSP, obviously I own one, but to get one right now? Huh... just wouldn't have expected that!