I love my PSP. There are going to be a lot of online games for it in the future. As of now you can play Battlefront 2, Fifa 2006, Madden 2006, NBA Live 2006 and The World Series of Poker online. I use it mostly for emulators and homebrew applications... (like the PSP Radio that connects to Shoutcast) but I also like being able to backup my games to the memory stick.
If you don't like handhelds in general then thats fine, but if you do like them then this is a must have. The Sony PSP is by far the best handheld for gamers, developers and hobbyists.
Obviously no handheld is not going to be comparable to current or next gen consoles so it is kind of dumb to compare them. I would rather play my Xbox or PS2 over the PSP as well, but I play my PSP more since I cannot always play those systems.