The TFT on the PSP is its shortfall. In GTA:SA the ghosting totally spoils the gameplay, not to mention the frame drops due to the slow processor.
Ultimately it's a novelty item unless you really are in a situation like travelling to work, then it could be a fun way to pass the time.
That said given the choice between playing only on the Xbox 360 at home or having the PSP to work, I'd choose the 360 without a shadow of a doubt. Considering they cost roughly the same you get so much more with the 360.