Memory Stick Duo (Memory Card)

This is the biggest and most recommended accessory for the PSP, because you must have a Memory Stick Duo to save your games! Unfortunately, the PSP is still fairly new, which means that the Memory Stick is not that cheap. Even 256 MB Memory Sticks cost about $14.99 - $24.99! That will only save you about 5-10 games only. So I recommend getting the 1 GB Memory Stick Duo. This can hold about 35-40 games, but it doesn't come cheap. Price ranges between $49.99 - $69.99!

Extra Battery Charger

If your extra, EXTRA careful, you might want to buy this extra battery charge. This is really optional, because the battery charger doesn't come cheap. And, personally, I wouldn't because your technically wasting your money (unless your really messy). Price ranges between $29.99 - $54.99!

A/V Cable (PSP 2000's only)

If you traded in your old PSP, or bought it straight away, your going to want this for your PSP Slim 2000. This is the A/V Cable. This is used for connecting your PSP onto your Television screen, which will take you on a bigger screen. I personally like it, but wouldn't buy it, just because PSP's are meant to be portable and it's a waste of your money (no offence Sony). But A/V's are cheap. Around $9.99 - $19.99.

PSP Disc Holder

Yes this is a great add-on to your PSP. This is the Disc Holder. The disc holder can store up to 3 games, and it's really cheap. The disc holder will hold your PSP UMD's and/or games. The price range is about $1.99 - $6.99, depending on how much Games/Movies it can store.

PSP Case

The PSP Case is a great way to protect and "pimp" your PSP. It's great because you can customize your PSP Case by adding stickers, pictures and more! And cases are really cheap and on the go, when you need it the most. Not only is it good, but it's also good on your budget. The price range comes between $19.99 - $24.99!

See Also:
PSP Console Information
Accessory Kit