It's definately NOT been worth it.
I got a PSP from the first shipment from Japan in December 2005. It was an incredible item to hold or put on the table. I would just look at its beauty. Ridge Racers and Lumines were excellent. I spent many long nights with the PSP in bed just because the screen was so cool.
Then, Q1/05 came the hangover. No decent games, US launch still some time off. Novelty of the hardware wearing off. After that, it's been only downhill. SSX gave me some good moments on the most turbulent flight I've ever had. I was waiting GTA LCS like the next coming of Jesus, and picked it up from Heathrow for a long LHR-SFO flight. Eight hours in, it just didn't pack the excitement San Andreas had.
I bought five movies, as well as Little Britain and Office. Movies turned out to be nearly impossible to watch from the small screen - something would distract me. Shorter comedies worked well, however. Still, laptop + DVD is the combo to beat in in-flight entertainment.
After getting Nano and seeing some of the new cellphones, PSP has started to look big and clunky. DS games gave me much more good times last year (Nintendogs, Another Code, Meteos, Advance Wars). My only concern with DS was that it was so fucking cheap looking and ugly. Now, that's been taken care of with DS Lite and New SMB + Brain Training are coming. DS Lite will be my machine of love this year.
From the technology high late 2004 until today, PSP has horribly underdelivered and doesn't have any appeal to me anymore. Even games like Gradius and Katamari Damacy are not getting me back excited.
I spoke in the office with some mates, and they had a similar experience. Everybody has been surprised how PSP hasn't been worth it.