Well, got my PSP in the mail yesterday.  It came in a small box, and just had the unit (so pretty), and charger.  Well, now that I have the thing, here's my current shopping list:
 
1.  Logitech PSP PlayGear Pocket - Slim -- of all the cases, this looks to be the most durable.  Also will fit the extended battery.  The only problem is, it looks to be discontinued, so it's a challenge to try and find it with a reputable online store.
2.  Extended Battery -- naturally, really.  It comes with the Silver cover, which is very nice.
3.  32GB memory stick -- I like having a bunch of space.
4.  Screen protector -- my previous PSP had a nasty scratch in it, so I'm protecting it this time.
5.  Pandora Battery/Magic Memory card combo -- in case the mods I put on ever get screwed up, I want a hard reset option
6.  Crisis Core -- best PSP game around.
7.  Persona 3 Portable -- I'm very interested in trying out the female character.  Plus, it's still a great game. 
8.  USB to mini-USB cord.  I probably have one somewhere, but I don't want to leave it to chance.
 
Can anyone think of any other crap I'm going to need?