Brothers in Arms (nothing like the PC and console versions) was said to be awful on the PSP by critics and those who played it.
Grand Theft Auto - All 3 are recommended
GTA: Liberty City Stories
You play in a time period set before Claude Speed was set loose in Liberty City and bikes are available. It is a prequel to GTA 3. You start in the same city as Claude did. The character (Toni) you play appears to be somewhat like Tommi Vercetti which is a good thing. Watch out for his mother and her assassins though.
GTA: Vice City Stories
This is a prequel to GTA: Vice City. You play as Victor Vance - Lance Vance's elder brother. A goody two shoes at the start but gets with the program soon enough. You play in Vice City but start at the opposite end this time.
GTA: Chinatown Wars
Here you play as Huang Lee in Liberty City. The game has a top down view like GTA, GTA London and GTA 2 which is not a very bad thing. The game was initially made for DS and then ported to PSP hence, the mini games are a bit annoying especially hotwiring a car. The story like any GTA game is humorous infact Chan Jaoming has to be the stupidest boss dolling out missions in any GTA game. The gameplay is similar to GTA 2 but has a lot more features which can be expected considering the time difference between the 2 games. Overall a very good game.
GTA:LCS and GTA:VCS supports custom soundtracks (requires a bit of work) but GTA:Chinatown Wars does not.
Between the 2 NFS games I played on PSP i.e., Carbon Own the City and Underground Rivals, I can easily recommend Underground Rivals. Carbon had a story but racing was boring. Underground Rivals has no story but racing is fun.
If you want an arcade racing game then try Ridge Racer 2. Excellent soundtrack and racing.