I think mine would be NiGHTS: Journey Of Dreams and Valkyria Chronicles II.
I had a really good time with Journey of Dreams. I thought the music was fantastic, the gameplay was fun, and I really liked the idea of symbolism in the children's dream worlds.
I think Valkyria Chronicles II got a lot of flack from people who didn't have a PSP, and felt better about not being able to play it if they convinced themselves that it wasn't good. The civil war story expanding on the big revalations near the end of the first game was a really interesting direction for the story to go. The gameplay was improved quite a bit from the first game, with the addition of the new character class upgrade system. I really hope SEGA releases the third game over here in some form.