Games(ISO or UMD), screen protector, hard casing(optional, but
recommended if you don't mind your PSP looks slightly bulky).
Most importantly is the games lah, 'cause no games, you wont be
able to play right?
ISO:
Either you buy in DVDs, or ask some shops to save it into your
memory card, with some charges, probably $3~9 bucks according to my
cousin who's a regular customer at some shops that sells PSP.
Alternatively, you can always download it from the net, but bear
the risk of it might be a virus.
Also, it takes quite awhile to search for the correct game and of
course time to download them, most games are of quite big file
size, so it's gonna take a few hours normally.
UMD:
Original games, but very costy. 2nd hand, perhaps $20~$35? Brand
new ones, maybe $40 onwards?
I'm not quite sure for this, but I know it's super-expensive as
compared to ISO.