Memory Stick
The first memory option for PSP is the standard memory stick that comes with the console upon purchase. The memory stick stores all of your games, movies, and music while inserted into the console. As of 2010, Sony PSP systems provide up to a four-gigabyte "Memory Stick Pro Duo." PSP gamers may choose to upgrade their memory sticks through third party companies who sell up to 16-gigabyte memory sticks for the Sony PSP.
USB, Computer and External Drives
As of 2010, the PSP 3000 allows for USB connections so you can connect your PSP device to your computer, which opens up a lot of options for memory. You can store games on your computer or you can store all of your media files on a flash drive. External hard drives provide much larger storage capacities for multiple files.
Online Storage
Many online backup storage sites exist to save all your data, including games, videos, music, and movies. With a quick search, you find multiple companies with online storage facilities that may save your games up to 500 gigabytes, such as Box.net, ADrive, Dropbox, and many others. The option may not be free, but if you plan on using your PSP for a long time, then you may want to invest in larger storage. With WiFi on your PSP, you can download your games stored online anywhere at any time to your memory stick.