I can only refer to the games that are also on xbox 360.
As mentioned Bioshock 1 & 2 were great if you like horror survival games, Fallout 3 & New Vegas are just friggin great epic RPG/shooter crossovers (mainly RPG) & Borderlands is all kinds of fun. The best game across platforms has got to be Red Dead Redemption though.
For something a little different and family appropriate, Ghostbusters is pretty great too. I bet you could probably get it pretty cheap.
Store Update US PlayStation Store for PSP Downloadable Games - TNA Impact: Cross The Line ($29.99) PSP Minis - Burnin’ Rubber – Minis ($3.99) - INFLUENCE – Minis ($4.99) Add-on Game Content - BUZZ! Quiz World: