The PSP has got so many good games. I would recommend:
Lumines 1 and 2
Worms Open Warfare 2
Metal Gear Solid Portable Ops
Metal Gear AC!D
Tekken: Dark Resurrection
Space Invaders Extreme
Crush
God of War: Chains of Olympus
Final Fantasy Tactics: The War of the Lions
Plus the ones jcmoorehead said. So many really really good games. There are tons more I haven't played that I've heard good things about too.
As for the emulation, there is a SNES9x port for the PSP which works fairly well. I used it to play Actraiser perfectly, but the higher end games with different harder-to-emulate chips don't run as well (Super Mario RPG is the one I had problems with).
Dark-Alex's M33 firmware is really your only choice if you want to run emulators, but it's well worth it for all the features it lets your PSP have. All PSPs can currently be modded for this firmware, but the tricks to getting it able to run the firmware installation involves modding a PSP battery to boot the PSP into "service mode", which is a little complicated if you don't know someone who has a modded PSP.
But all the needed tools (Despertar del Cementerio for modding the battery and the custom firmware) are on Dark-Alex's website. It's a little complicated, and requires some reading, but once you get the hang of it it is really not that hard.
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