Killzone and the two Syphon Filter games are the best shooters on the PSP.
While not perfect, From Russia With Love and Chili Con Carnage are both highly playable and can be found in lots of bargain bins.
Also, check out Crush, Daxter, and LocoRoco...those are three of the best overall games on the system, IMHO.
Edit: I should add that I got Downstream Panic from Gamefly this week and it's a lot of fun, in a LocoRoco kind of way.