This game is great, but it's also the epitome of forced download overkill. The first time you connect to PSN, be prepared to sit there for an hour or more (literally) while it downloads every update that's been put live for the game since its release (some of them are huge). The fact that you have to sit there and click OK to restart your PS3 before you apply the next one doesn't help either.
Again, not to bash the game. I have lots of PS3 games and don't mind patches at all, but Hot Shots Golf takes the cake.