For games, the PSP is not region locked. According to Wikipedia: Although PlayStation Portable has no region locking for UMD games; UMD movies are locked by region. However, Sony has confirmed that it is possible to implement Region-Locking on the PSP, and the firmware will disable features based on region.

Are all PSP region free?

PSP adopts both a "worldwide" and "regional" code system," explains Molly Smith of SCE America. "For games on PSP there is no region code. However, due to language and system issues, quality assurance procedures are done in each territory.

Can you play Japanese PSP games on American PSP?

Which means that yes, you can play any Japanese game on that fresh, mint-condition, scratch-free PSP you just picked up (or if you've had a PSP for a few months, there's now a few new American titles you can add to your library).