Some games I suggest for the PSP are SOCOM: Fire Team Bravo 1 and 2, Killzone Liberation, Infected, God of War: Chains of Olympus, Daxter, Ratchet and Clank: Size Matters, Marvel Ultimate Alliance (if you haven't played it on 360 yet), X-Men Legends 2, Final Fantasy Tactics: War of the Lions which is a remake of Final Fantasy Tactics on the PS1, Dracula X Chronicles which has both Rondo of Blood and Symphony of the Night on it, Wipeout Pure, Tekken 5, and Crisis Core: Final Fantasy VII.
On DS I recommend Super Mario 64 DS, New Super Mario Bros., Legend of Zelda: Phantom Hourglass, Metroid Prime Hunters, Any of the Castlevania DS games, any of the Advance Wars games, any of the Final Fantasy remakes, Final Fantasy Tactics Advance 2, plus since it can play GBA games you might want to check some them out as well.
I have both systems, and I play my PSP more than my DS, but only because my wife usually has it
.