1. The Golden Compass
The PSP version is so insanely broken. Clearly they ported the Wii or PS2 version with absolutely no understanding of how the PSP loads from the UMD.
2. Breath of Fire III
(PSP version has a game-ending bug about a third of the way through)
3. Major Minor's Majestic March
Controls do not function. At all.
4. Grand Theft Auto: San Andreas
Supply Lines mission in the original "AO" PS2 version has you run out of fuel regardless of whether you are using it or not. Not the kind of thing you want to find out when you have 5 missions left in the game.