Just bought the case that MetalAlien and gigapower have -- it's Pelican's Headbanger Travel Case. Came in the Pelican Sony PSP Starter Kit ($49.99, get $10 off with coupon in pamphlets at Best Buy's PSP desk)
Love the case -- it has straps to hold the unit inside if you want to use them, 4 pockets for games, and 2 pockets for Memory Sticks. Also has a velcro belt strap and a mountain climber style clip to hang onto bookbags or belt loops. I don't like that it has no room for the headphones, but ahh well. Beats the tar outta the standard foamy case the unit came with. The center flap is softly padded on one side, so the screen won't get scratched. Especially true if you use the included plastic screen guard. The outer shell of the case is rigid--not full-on solid, but close. Whole thing feels strong and sturdy.
The screen guard that comes in the kit is awesome. It doesn't use adhesive to cling, and you can use the plastic mat panel that it's initially stuck onto to gradually put it on the screen without forming any bubbles or whatnot. Easy to lift back up and smooth out too, using the same plastic mat. Guard does seem to make the screen look a little shimmery, but it actually seems to be an effect from overhead light. No distortion in dim or dark rooms. One thing I like, once it's stuck on there, it's amazingly flush.
You guys didn't mention that the kit also comes with car charger, charger brick, and USB cable. That made it worth the cost. The charger brick is kinda gimmicky, but cool. Basically, you can use the PSP's power cord to charge it, and then plug it into the PSP as backup power. So, if 5 hours of standard battery isn't enough, it'll provide 10 more hours for ya.... if you don't mind it dangling off. Yes, TEN HOURS. Or, you can use it to recharge the internal battery twice before recharge.
Kit said it came with 1 cleaning cloth. Mine seemed to have 2 -- one black, one blue. Nice.