PSP Store directly on your PSP?
Sony is considering it

In a revelation that is unlikely to shake the ant world, Sony has admitted that it is looking at the possibility of making the recently announced PSP Store available directly via the PSP.
Confused? Well, currently you need a PC to access and download content – games, demos, trailers, etc – from the site, which you then transfer across to your handheld.
What Sony is suggesting is the possibility of cutting out the middle man, as it were, and bypassing the PC process altogether. So you'd access the PSP Store through your PSP and download the content straight onto it.
"Yeah it's definitely something we're thinking about," said Eric Lempel, PlayStation director of network operations when speaking to MTV games blog, Multiplayer. "With the capability of the PSP it's something that should be possible, so it's definitely something we're thinking about."
Why didn't Sony do this from the start, you're asking?
"It was easier to create the service and the system on the PC at first. Also, with a lot of content, the PSP is great and has a great screen, but we would need to create a different type of navigation, a different type of browsing system to get through all the content that will be on there," Lempel explained.
"There are also technical challenges behind the scenes that lean toward delivering the content securely, making sure it is protected. That's why when you use the PC store you use the PlayStation Network downloader application. We figured we could wait and take longer to develop the store just for the PSP, but we wanted to get this out sooner rather than later."
You can read the rest of the Multiplayer's substantial interview here.