a bit of paranoia, a bit of common sense, and consider where you're going to buy the refurbished console/handheld. If it's from off the street, CL, etc you're probably better off paying extra for peace of mind. If it's from GS or someone that actually gives a warranty, you've have a much better chance of coming out ontop. The psp go was probably some someone who bought it/won it/stole it, didn't like it, then promptly returned it.
I wouldn't however buy a refur'd xbox 360. You can get them pretty cheap lately.