Let's look at your original list of "audiophile" stuff. DVD-A? That's hilarious to include, topped only by listing vinyl as well. Of COURSE portable audio players aren't going to support 5.1 audio, and of COURSE there isn't a portable vinyl solution short of dragging DJ gear around with you.
If you want portable CD audio, buy a CD walkman or rip your collection to lossless formats. However, the PSP can't play CDs, and if it plays lossess formats at all, you will be severely space-limited by the Memory Stick media.
If you want to deal with compressed audio (MP3, AAC, etc.), and you claim to be an audiophile, then you already know that the particular compression algorithm isn't as important as the bitrate. Higher bitrate = better sound, and the only way you'll have space to support higher bitrate files is with a hard disc-based player.
Last but not least, you also know that none of these options is going to have a top-quality DAC or distortion-free signal transmission like you can get from a good HT setup...and, oh yeah, you're restricted to HEADPHONES.
So, I really don't understand why you're asking the question. If $$$ are a concern, buy a cheap, hard drive MP3 player, encode losslessly or at the highest bitrate you can, accept its limitations, and buy whatever gaming system floats your boat.