GTA Vice City Stories, Liberty City Stories, both have great stories.
Manhunt 2, a very serious and violent game, but again the story makes it.
Silent Hill Origins, another good story game, graphics are quite good.
Gran Turismo, the best racer for PSP in my opinion, has no career mode which sucks, but the racing is good.
Ratchet and Clank : Size matters, this game is pretty damn good, one of my favourite (i love the R&C series though)