I'm actually rather enjoying playing Pirates: Live the Life and Ultimate Ghosts 'n' Goblins on my PSP at the moment. I also fairly often get into online matches of Metal Gear Solid: Portable Ops and just breeze though story mode in Tekken: DR.
...Not to mention all the PS1 games I can play on it now via emulation

:D. I've recently finished playing Metal Gear Solid, Mega Man X4, and Mega Man X5. I would get into X6... or I could kill myself, it's about equally painful (I beat it years ago though).