Depends on what genre you are looking for.
If you're a fan of racing games, then I'd say Motorstorm.
If you're a fan of shooting games, then I'd have to say Medal of Honor Heroes 2, Socom FTB 3, or Resistance Retribution. My favorite of these three would definitely have to be Medal of Honor Heroes 2.
Medal of Honor Heroes 2 IGN: SoVuNoVa
Currently Playing: Disgaea: Afternoon of Darkness
my experience with online PSP gaming hasn't been that great. And I haven't played MoHH, Socom, or Resistance online. Ace Combat Joint Assault is the best out of the ones I played. It's very fun and has lots of people playing (presumedly mostly from Japan) and being a co-op flight game is less affected by lag. Fat Princess Fistful of Cake has good multiplayer but it doesn't have many people playing.
I look forward to trying MoHH, the demo was very fun.
All of the above listed games are good but bewarned...Socom FTB3 is a pain sometimes. Way too many hackers ruined that game for me. If the room wasn't being frozen at some point causing me to reboot the PSP then I was being shot by someone running around the map with an invisibility cloak.