There are quite a few websites that offer downloads for PSP covering games, movies, themes, wallpapers and more. The good news is that these are often really affordable, and offer TONS of value.

The site I would recommend most is "All PSP Games", which you can visit by clicking the link at the bottom of this page. For a low one-time cost, this membership site provides literally MILLIONS of downloads, and it's super easy to transfer everything you download on to your PSP (you just need to hook your PSP up to your computer).

So far, I have not found any good downloads for PSP that are totally free (torrents, for example, or risky and illegal). By joining a really affordable membership site like All PSP Games, you get tons of value and you won't have to worry about everything. Just click the link at the bottom of this page to visit All PSP Games. Sign up to them now -- you won't regret it. :-)