Xbox + Live = Awesome. It really depends on what you want to use the system for. I <3 my PSP for stuff like the bus and trips. Movies, Music, and Games. If i just had a PSP at home for my main console though it would easily get very boring.
two simple words, xbox live, better online gameplay, way better features, games and the marketplace owns, u can't find that in the psp, btw i have a psp too , i hacked it , custom firmware ftw lol