PSP has an awesome selection of retail and downloadable games, also don't forget the UMD-less PSP2/4000 series should be announced at E3 this year so that means from then on all future games will be available via the PSN store which will be great, faster loading times and no battery draining UMD drive, what I'd recommend to the original poster is sticking with the DS for now and try finding some games you like and wait until we see what E3 has to offer in regards to the next PSP.
Games I'd recommend for the DS atm are,
Peggle: Dual Shot (OMFG buy this game) - The game is region free available via import atm.
Tetris DS
The New Super Mario Brothers
Super Mario 64 DS
Mario Kart DS
The Legend Of Zelda: Phantom Hourglass
Puzzle Quest: Challenge Of The Warlords
The Phoenix Wright Series
Sonic Rush
Hotel Dusk: Room 215
SimCity DS
Populous DS
Chrono Trigger
Ninja Gaiden Dragon Sword
The Castlevania Series
Advance Wars: Dual Strike
And don't forget about all the awesome Gameboy advance games that are out there that work with the DS and they can be found very cheaply,
Mario Kart Super Circuit
Super Mario Bros. (The NES Game)
Super Mario Advance
Super Mario World: Super Mario Advance 2 (A M A Z I N G !!!)
Yoshi's Island: Super Mario Advance 3
Super Mario Bros. 3: Super Mario Advance 4
The Legend of Zelda (The NES Game)
The Legend of Zelda: The Minish Cap
The Legend Of Zelda: A Link to the Past
Mario Golf: Advance Tour
Metroid Fusion
Metroid: Zero Mission
Advance Wars 1&2
The Castlevania Series
Sonic Advance
F-Zero: Maximum Velocity
Super Ghouls 'N Ghosts
Doom 1 & 2 (yeah I know, not the best versions but I'm a hardoned doom fan and they look pretty cool on a micro DS

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Looking back the GBA had many awesome games, I still think it's one of the best handhelds out.