the high point of the PSP homebrew scene right now are the emulators. i won't name them all since you can search (check psphacker.com).
there are a few demos out and apps/utilities but those can't do much right now.
and no, games can't be run from mem stick yet but a release group said they were comming close to a possible hack (only testing left). i'm not believing it until i see it so take this with a grain of salt.
and BTW, only JAP 1.0 PSPs can run homebrew right now because of a flaw in the initial firmware version that allowed unsigned code to be run from memory stick. those can fetch a pretty bundle on ebay right now.