One thing : If you have (or are ever thinking about getting) a Sony digital camera, you need that adaptor if you want to use that card in the camera as well. The adaptor is free in the regular version, but absent in the gaming one.
Oh, also you need the adaptor if you want to use it with a card reader on your computer or printer (that wasn't mentioned anywhere with my computer instruction, and I almost lost my 32 MB card in there the first time). Of course, you don't need to (you can just use the USB cable to the PSP instead), but it's much easier to transfer files with the card reader.