The question lies in what you want to do.
The PSP has more juice, yes, and with the official PSX emulator encryption cracked, you can play damn near any PSX game. However, the screen ghosts like all hell, the ratio is all off(meaning you either get a smaller size than on the GP2X, or have to stretch it), and the community is one of the worst I have ever seen.
The GP2X has its own problems. It handles alkalines HORRIBLY, lacks the PSP's real power, and has no built-in wireless. However, it also has easy TV-out, a simple cable is all that's needed to plug in a USB keyboard or gamepad, and its media support is a thousand times better, as is its screen for classic emulation.
Their controls, about the same. Both have less then stellar controls that can be modified for improvement.
In short, it depends on what matters more to you. I have both, because high-power is useful, and I like having a console where I don't have to worry about the kind of idiots that the PSP homebrew attracts, and get some real support, as well as some MAJOR innovation.
If I had to choose one, though, I'd have to go with the GP2X simply for its sheer unknown value, and the playing of Neo-Geo titles.