I think it's funny that now Sony's trying to play up the "connect your PSP to your PS2" angle like it's something new that everyone should love. Did they not notice that Nintendo tried the exact same thing, and that it flamed out pretty quick? And that was with a handheld that has much larger marketshare than the PSP has.
It depends on what they decide to do with it. The PSP with it's memory stick has much more storage space among other things. From some of the press I have read thusfar they have some interesting things in store. The PS2 & PSP SOCOM games sound like an interesting combo, where you might lead your team against an airfield on the PSP, then when you encounter that airfield on the PSP there is less resistance. Things like that.
They could always add some bonus content (like the Wipeout downloads). This could have been done with the Cube, but the data would already have to be present in the cart.
Sony has a nice roster of first-party developers and exclusive franchises to give their connectivity a kick. It remains to be seen if they will actually do much with it...
I'm interested in how much support the PSP will get on the Xbox 360. I would love to see the ability to rip tracks using the 360 to put on the PSP. I doubt it since MS is all about WMA, but it's a neat idea.