I picked one of these up, because a lot of people on various forums and such said this is one of those essential accessories for protecting your investment (your PSP). In a way, they are right, but it has it's big negatives.
First, the positives. I can say that this thing will definitely protect your PSP. This thing is like a solid clamshell with very thick plastic and a soft foam lining on the inside. Obviously, I wouldn't test it by dropping it with my PSP in there, but I do feel that the survival rate of my PSP goes up a lot when it's in there. Plus, another positive is the customizing options, in which you can print out things off the web onto standard paper and insert them between the foam and clear plastic case, giving it a more unique feel. They even sell pre-made inserts.
Now, the bad, and you may or may not agree, as this isn't a "technical" bad. To me, the whole point of having a handheld console is that you have something compact and convenient you can throw in your pocket or bag and be off and pull it out and have fun. The PSP is already one of the bigger handhelds, and big enough that putting it in even a jacket pocket it going to look and feel awkward. This case nearly doubles that size, and definitely takes it out of the realm of walking around with it in your pocket.
I say if you're going to have this in a backpack or some kind of back 24/7, then this case is great. If you plan to tote around your PSP on or in your clothing though, you might just want to get a screen protector and a really good strap on it.