The slim models are thinner, 33% lighter, possess video out capabilities for playing games/watching movies on your TV (Please note that the required ~$15 cable is NOT included with any of the slim offerings) and have more RAM which is supposed to lead to shorter loading times.
There are currently three options for buying a slim:
1. Plain Black, $169.99: black PSP, no game, no movie, no memory stick
2. Daxter Entertainment Pack, $199.99: silver PSP w/Daxter game, Family Guy video, & 1GB memory stick
3. Star Wars Entertainment Pack, $199.99: white PSP white Darth Vader on back & Star Wars game, no movie, no memory stick
Something to consider is that if you wish to save games or put any type of music, video, demo on your PSP you will need both a memory stick pro duo and a USB cable (same one most cameras use).
I own the Daxter pack and feel that it is the best deal out of the bunch. The silver unit masks fingerprints a heck of a lot better than the black and comes with everything you need to get started with a PSP (minus the USB cable).
As for deals, I would check the following website for deals on slightly used or sometimes unused PSPs.
http://www.warehousedeals.com/category/2271054561/1/Sony-PSP.htm
Cheers!