My wife bought me the PSP and a few games for Fathers Day. I had been messing with it a couple times a week, but putting a 1gig card and emulators on there definitely brought it to life. I play it every day now.
MAME was a bit of a disappointment. It has limited game support, and runs a lot of the stuff it is capable of running too slow. SNES emulator is better, but even at 333mhz it runs some of the more advanced games like Contra 3 a bit slow.
The Genesis and NES emulators are where I think the PSP shines. The Genesis games look great on the small PSP screen, play is fluid and most games run flawlessly at 333mhz. Found a few that don't work, including Gaires, which is my favorite Genesis shooter.
All the NES games I tried worked. I have about 50 of them on there now. Some of the arcade ports for the NES have aged well. The NES version of Gyruss is pretty cool, since it's true to the original play mechanic but adds some bosses to fight between levels and stuff. Donkey Kong Classics is also very sweet, though it has the Japanese level layout (elevators are second screen).