I think Sony is setting a good precedent here. Memory cards have become very common items, thanks to the rise of digital cameras, PDAs, MP3 players, etc., so the continued use of proprietary designs is becoming increasingly intolerable. Nintendo almost a difference with their SD card adapter for the GameCube but they've chosen to almost completely ignore its existence, even though the availability of cheap local storage could help encourage third party developers to do more of the stuff that is currently found on the Xbox almost exclusively.
Sony has a lot of secondary applications for the PSP that depend on inexpensive high capacity Memory Sticks, like playing DVR files. Also, many game categories like MMORPG require a lot of local storage to work well. The PSP could enjoy an advantage over the PS2 in that its option for high capacity local storage is there from day one rather than introduced three years after launch like the PS@ HDD Kit.
If those secondary PSP apps do well it will generate a lot more revenue in volume sales of Memory Sticks than is offered from overpriced platform exclusive memory.