Mine came in a plastic bag with the charger but no memory stick. I asked the employee (the manager) on duty to see all of the PSP Go's and inspected all of them one by one. He got a little snickery and even said "do you want to see all 15?" and I said yes because I want to pick out the best one. I even asked the guy if any had the memory sticks but they told me they took them all out (greedy). Ended up picking the one with what I believe is the OEM plastic protection screen. Will pick up the white one later this week.
FYI - they had a ton of DS systems on the those clear plastic baggies and other accessories, too bad I already the original 3DS or I would have picked up a DSi XL in the future.