PSP games are not region coded. You can import games or a PSP from anywhere and they will work together.
The UMD movies are region coded in a similar fasion to DVD-Videos, but unless you will actually use UMD Video, this won't affect you. IMO UMD Video is stupid. You could buy a DVD-Video edition of a movie for less, and in much higher quality, with more playability.
The Japanese PSPs are made using a TFT screen manufactured by Sharp. PSPs for AU and US regions are made using a cheaper screen from Samsung, which is reportedly lower quality.
All PSPs are multi language. When you turn it on for the first time, it asks you which language you would like to use, and the language option is always available in the settings menu.
Recomended games (with no first hand experience):
- Ridge Racer
- Need For Speed Rivals
- GTA Liberty City Stories (not released yet)
- TOCA Race Driver (V8 Supercars Race Driver)
Also get a large memory stick for all your music and video (and games if your lucky).
The 1.0 and 1.5 PSPs can run unsigned code, meaning that developers can make their own programs and games for it to be run from memory stick. Currently launchers for multiple retail games from memory stick, enhanced music players, emulators for other systems (play Nintendo games on your PSP), and calender/organiser programs are available, along with others. Later version PSPs have been blocked from using unsigned code, version 2.0 has a web browser.