Not many PSP games support multiplayer through infrastructure (aka Internet), with relying on adhoc (aka local) to accomplish head-to-head and co-op modes. Sony came up with a clever solution to the issue in Japan with adhocParty, which funnels adhoc multiplayer through your PlayStation 3 and allows for online multiplayer on a PSP. More steps, but it works. adhocParty is coming to US "soon," but there's a small catch: it won't work with every PSP game with adhoc support.
This was the case with the Japanese version of adhocParty, too. Sony Computer Entertainment America confirmed to me this afternoon the issue would carry over to the US version.
"It will be a similar situation with adhocParty in the US," said a SCEA spokesperson. "We assume most folks will gravitate toward titles such as Monster Hunter Freedom Unite and Gran Turismo, but adhoc party mode may not be fully supported in every game with adhoc multiplayer."
A list of Japanese PSP games compatible with adhocParty is on Wikipedia, but SCEA couldn't tell me when a list would be available for the US. A release date has not been announced for adhocParty, however. For now, the Japanese list should provide a good idea of what to expect from US support.
adhocParty in Japan was updated with support for more games as time went on, however, so if your favorite PSP game isn't supported by adhocParty at launch, it's not ruled out forever.