Okay, so I have talked about my PSP a LOT lately. Here is the post you will need to get up to speed to get your PSP set up with customer firmware to do everything I am doing. I will only link what I have done, just due to experience.
http://www.dashhacks.com/psp/custom-firmwares/the-first-psp-cfw-of-2013-is-pro-c2.html - The software you will need.
http://www.dashhacks.com/psp/custom-firmwares/how-to-install-6xx-pro-c2.html- How to install the software after you have it.
Convert ISO's to CSO (Take up less space on MemStick)
http://goo.gl/BdJFQ - A walk through on using UMDGen 4.
Memory Stick Duo alternative (MicroSD to MemStick Duo adapter)
http://goo.gl/4u7vP - A link to an Amazon.com search for the best prices.
http://goo.gl/tRClM - This is the one I got.
Hacks, Homebrew and More
http://www.dashhacks.com/psp.html - Plenty of stuff to do with your PSP after installing Custom Firmware.
This is amazingly simple to do folks. You will be glad you did it. My PSP is a 1001 series. So, it accepts the CFW without a problem. Series 200x will have no problems either. Series 300x models have been designed so CFW doesn't "stick", but that isn't a big deal. Getting around that just means running Pro-C2 prior to playing games, or using homebrew software. I would assume the same goes for PSP Go, as well. Now, my only question for you is...what are you waiting for?