NOTE: If you have 2.70+, this does not apply to you 'cause you need homebrew for this.
I have accidentally found a way to run Game Sharing programs on with 1 PSP. You don't even need the UMD! However, you will need the UMD to obtain the program just one time. Here is what you need:
Game Sharing portion of Namco Battle Museum will start
This is great if you want to take the classics with you without taking the UMD or if your friend has it and you don't. Not sure if this can have any further development in the Game Sharing hack field, but it sure is interesting!