There's an app you can run that cracks the firmware for you, but it doesn't permanently change anything, so there's no chance it'll brick your PSP. It's super easy to turn the crack on and off, too. With the firmware cracked, you can just plug in an SD card and run any native game, any PS1 (as an eboot), and homebrew software which includes games and emulators for GB, GBA, NES, GG, SMS, Genesis, SNES, TG-16, etc. etc. Just a mindbogglingly huge library.
I don't remember the name of it right now, but do a web search for PSP CFWs (Cracked FirmWare) and you should be able to find something.