More memory for your PSP is on the way, thanks to first generation flash card adapters on the way from Chinese manufacturers. There are three different models available, but all of them are limited to a maximum of 4GB of storage capacity. This limit is not due to the products, but rather to a firmware limitation with the PSP. 4GB is all that it will support.
The Neo2in1 and the Neo4in1 are kind of awkward because they just hang by the flat cable which attaches them to the PSP via the Memory Card slot. That makes it less convenient to use them on the go, though the manufacturers will apparently be including Velcro to attach the reader to the back of your PSP. The 2in1 is a Compact Flash adapter, while the 4in1 adds SD and MMC capabilities as well.
The Neo5in1 combines the capabilities of the Neo4in1 with an AA battery pack for backup power and 2 USB slots. The other big draw of this model is that it attaches to the PSP, making it much easier to use than the other two.
Prices for these readers range from $80 for the 2in1 to $100 for the 5in1.