I recommend custom firmware...that is a must for the PSP IMO. As far as games go... God of War: Chains of Olympus Metal Gear Solid: Portable Ops Patapon Daxter Castlevania: The Dracula X Chronicles There's probably a few more I am forgetting...but for the most part the PSP game lineup is pretty lackluster. Custom firmware makes this better by allowing you to use the PSP to play emulators (NES, SNES, Genesis, etc...) and PSX games.
I probably shouldn't link to that stuff here...but if you do a Google search for Dark Alex and M33 you should be able to find all the information you seek.
MGS Portable Ops (the first, not the Ops Plus) Syphon Filter: Dark Shadow God of War: Chains of Olympus Daxter
There are so many good games for the PSP and so many that are coming as well. Here's a list of top twenty games under twenty bucks: PSP Fanboy
For all of you owners of modded psps, would you mind sending me links (via post or pm) for the easiest way to get my psp firmware ready. I am not really tech savvy, so the easier the better. I just basically want to be able to play nes, snes, and sega emulated games... otherwise the thing just collects dust. I currently have a "fat" psp running version 3.9 w/ 2gb memory stick. Thanks in advance.