The only problem I have with my psp is the dpad..that it's really crappy for anything requiring diagonals like fighters and shmups. Like a ps1 pad but maybe worse. I had to use a cheap chinese 3rd party pad for some time to play richter well in SoTN because the ps1's is so frustrating to play on. Funny how most every pad before ps1 blows it away. Sony has been lucky! I want to try and mod the psp (phat) dpad though, it's quite nice otherwise.
Honestly I just got it to play emulators and music on the go. Only two games I play now are cv X chronicles and gradius collection.

What UMDs would you say are must plays?
you can replace the dpad pretty easily...
I saw a video where a guy fabbed a snes d pad into a psp! I wonder what exactly you mean by this though. I've also seen something you order to put on top of the cross and different ways of glueing plastic below the official dpad I'm definitely interested in the best way to go about this but nobody really compares methods that I've found so far. : (