I just got my Acer Aspire One netbook and I've got to say it's the best option out there for portable gaming. It may cost a little more than a PSP, but you get a whole lot more. A full computer, 160 GB of storage space and 3 hours of battery power. I've popped a few games on there. Mostly classic games, but it's awesome so far.

With downloadable games from services such as Gametap and GOG you can bring a whole bunch of games, along with movies, music, pictures, documents and pretty much any program that runs on Windows.