If you want gaming + movies on a decent sized screen, go for the PSP.
If you want good music + movie playback, go for the COWON PMP's like the D2, A3 etc depending on your space requirements and budget.
If you want a music player with avg to decent quality music playback, lots of space for music, good flaunt value, but at an exorbent pricing for the features offered, go for the iPod.