Tactics Ogre is a great RTS fantasy game, if you like Final Fantasy Tactics (which is also available on PSP)
Monster Hunter Unite is the definitive MH game, with many of the environments and enemies from all previous titles.
Metal Gear Solid: Peace Walker is another great mission based game, like Monster Hunter is, only with the Metal Gear kind of gameplay
Killzone: Liberation is a fun, top down arcade style shooter.
Castlevania: Dracula X Chronicles is a remake of Dracula X, but the game has the full Symphony of the Night, and Dracula X (pixels!) games as unlockables.
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those were my main games on the system, but I also had fun with these:
Metal Slug anthology
Guilty Gear Judgement (not a fighter, but a great old school side scrolling beat em up!)
With the ability to convert PS1 classics off the PSN store, I also got a decent memory card, and have these games always embedded in my system wherever it goes: Blood Omen: Legacy of Kain, Metal Gear Solid, Suikoden, Castlevania:SOTN, Xenogears, Mega Man 2 (import PS1),