No. I always prefer physical copies for games when available, although I have bought plenty of digital copies of games. Given the choice between physical or digital versions of the same game, I will always buy the physical copy, even if it costs more.
Having said that, there are some games I bought in both formats for PSP, to have them readily available on my memory stick for quick loading (like Metal Slug Anthology). There are other games I bought digitally because that was the only way to get them (like Hydro Thunder Hurricane).