Burnout and Ridge Racer are the only must have titles that I have found. IMHO first person shooters do not port well to console type controllers, but especially don't work well on a portable. Otherwise, your best bet probably is to sign up for Blockbuster's in-store monthly pass. You can test all of the available games inside of a week or two, then use the pass for the rest of the month playing your favorite few. Then cancel it before you get hit with a second month charge. This is a great way to test out games, and it's pretty cheap too (when you only do it for the one month)
The other must have applications that you absolutely need are PSP Video 9 and DVD Decrypter (Google PSP Video 9 and you will find links to the Decrypter program on the PSP Video 9 site plus how-to walk throughs as well). With these two programs, you can copy your DVD collection into a format you can bring with you on your PSP. Plus, with "fair use" rules, this is a perfectly legal use of your content. You might want a 1 gig memory stick card if you watch much on the PSP.
I haven't tried Socom. But hey, it's just my opinion, but those high twitch FPS games are too much for the small screen. Play a FPS on a computer with an optical mouse to aim and you'll see what I mean.
Get the Blockbuster monthly - for one month. It is beyond worth it. Plus you will be in gaming heaven (until the month runs up).