some of my favorite are Worms OW 2, Star wars BF2, God of War COO, all of the Locorocos, resistance retribution, and others that i seem to forget right when i want to remember them.
There are other threads about this but hey WTH I'll reminisce about PSP games I enjoy... Assassin's Creed 1 Tekken DR/6 GTA LCS/VCS/CW God of War: Chains of Olympus Mortal Kombat Unchained Power Stone Collection Hot Shots Golf 1/2 Worms Open Warfare 1/2 Loco Roco 1/2/MC Burnout Legends/Dominator State Shift Pursuit Force 1/Extreme Justice Castlevania: Dracula X Chronicles Metal Gear Solid Portable Ops/Plus Dynasty Warriors 1/2 Warriors Orochi Final Fantasy 7 Crisis Core Monster Hunter Freedom 1/2 Undead Knights Transformers 1/2 Zero Cho Aniki These are just a few of the good games (IMO). There are way too many to list depending on your taste in games but there isn't a lack of good games for PSP so search places like IGN or GameSpot to see what suits you.
Games I liked: Dissidia MotorStorm Arctic Edge Tekken 5 and 6 DJ Max series FF Tactics GTA Vice Kenka Bancho Badass Rumble Worms 2 Patapon 1 and 2 Gundam Rengou vs Zaft Gundam VS Gundam Power Stone Collection Monster Hunter Freedom Unite Burnout Legends Pangya Fantasy Golf God Of War Super Collapse 3 Killzone Liberation Yu Gi Oh Tag Force 4
Holy Invasion of Privacy Badman! was awesome. Metal Slug Anthologies is a reasonable (if not perfect) port of the originals. The Burnout games are also pretty good. Several others which have escaped my mind for now.
You might want to check out this list: http://gbatemp.net/index.php?showtopic=155022 It contains a list of PSP games voted on by the GBATemp users.
The Monster Hunter games - Although they're a bitch to play. The controls take some getting used to, imo. Tekken 5: DR Resistance GTA Liberty City/Vice City Stories MGS: Portable Ops - Yet another game that's a bitch to play, but if you an MGS fan, you might like it. Silent Hill: Origins
