Since today is Protest SOPA/PIPA day, clearly you should haxor your PSP to play GBA/GB/SNES/NES/Genesis games on it, and then buy the games from the Nintendo Store when they release them to the unwashed masses. I did (hack my PSP, that is), and I'm gonna soapbox for a second on the topic, given what day it is (or should it be SOPAbox? /shotforlamepun).
I'm not for copyright infringement if you can get a legit copy, but in the case of games you can't buy from the manufacturer/publisher/developer and can't find used/are region-locked against you, I'm all for it. Also, if you already own the game on one platform and want to emulate it (e.g. I have Chrono Trigger for SNES, but my SNES is long dead and I want to play it on PSP so I DLed a ROM because ***** buying the gear necessary to rip my own ROMs when I can just download them), I'm for that too.
I prefer owning a physical copy of media I like (if just to display them on my shelf), so even if I've downloaded a game/movie/TV show I don't own, if I intend to keep it beyond a playtest period, I will try to get legit copy of it--and new rather than used, but I'll take used if I have to--to support its creators. Funimation wouldn't have gotten ($20/disc x 13 discs) $260 out of me from Fullmetal Alchemist DVDs if I hadn't seen it for free first, and once I can find a boxed set for FMA: Brotherhood, I'll buy that too, even though I've already watched the whole thing in Japanese.