If you're really into gaming I suggest you go for the Nintendo DS. True, a lot of its games are childish and somewhat immature. But you have to try the gameplay experience first before you make your decision. The games are simple yet addictive and the repeatability is better so that means longer shelf life for your games. The new releases are really exciting, especially Ninja Gaiden. Imagine slashing your enemies with the stylus! This handheld is specifically MEANT FOR GAMING and is the current marketshare leader worldwide with a wide insurmountable margin, now there should be a good reason why sony is trailing with their PSP. And nintendo is gonna hammer the last nail on sony's coffin with the Wii.
If you're up to doing something else aside from games, like multi-media player then go for the PSP. Actually, Sony intended that for the PSP since most of the games in that device is not really as engaging.
Make no mistake about it. I'm a sony fan on all other stuff but not gaming. Nintendo is the household name for games and they do the quality assurance for all developers unlike Sony. Sony just wants money from all of us and release a lot of crappy unsuable games, you end up disappointed after 2 mins of playing.
But then again, it's a matter of personal preference.
