First, Steve, make sure you get the newer PSP model, PSP-2000, sometimes called the PSP "Slim" or "Lite". It has a better screen, speakers, buttons/d-pad, and reduced loading times. Also, you will need a memory stick to save your game data. My recommendation is a 1GB or 2GB stick since that keeps your options open on utilizing your PSP to the fullest extent without emptying your wallet.
Since you are a big Metal Gear guy, in addition to Portable Ops, here are some other Metal Gear titles to consider.
Metal Gear Portable Ops Plus - Recently released and it is an expansion to Portable Ops, meaning more missions, characters, focused on online multiplayer combat, and an extra single-player mode. It does not add to the plot of Portable Ops.
Metal Gear Acid 1 and 2 - Although they are card games, I really enjoyed these titles since they played more like a strategy RPG than card games. Plus the cards themselves has a lot of interesting Metal Gear lore and info that hardcore Metal Gear fans would love, including occasionally playing memorable videos of past Metal Gear games when you use certain cards. These are the first card games that I actually enjoyed.
Some games from my current collection that I recommend are:
Final Fantasy Tactics: The Lion War
Jeanne D'Arc (a solid Japanese Strategy RPG like FFT, though simpler)
Tekken: Dark Resurrection
Castlevania: The Dracula X Chronicles
Here are some games in the near future that will be released that are anticipated to be good:
Wipeout Pulse (sequel to Wipeout Pure which is one of the best PSP racing games)
Final Fantasy VII: Crisis Core
Final Fantasy Dissidia
God of War: Chains of Olympus
Echochrome
Finally, with a good size memory stick you can download games/demos/themes/videos/wallpapers from the online PSP store:
Click here
To use it, you will have to create an account (that's free) and the same network account can be used on the PS3. You will also need Windows XP/Vista to use the downloader software.
You can purchase full games for download like Beats, which takes music on your memory stick and creates a rhythm based game, or a few PS1 titles. There is also a lot of free stuff to download as well.