Generations of Chaos is horrible, and I really tried to like it. Terrible strategy game that takes forever to get into, and it's not rewarding even when you do.
Legend of Heroes is great, as is Gurumin. They're true Falcom games (as opposed to the weenie PS2 ports of Ys which are Taito's take on Falcom games...)
Ys 6: Ark of Napishtim is good if you've never played it before, but the loading is annoying.
Lumines is fun, though Lumines 2 is better. Also might want to check out Every Extend Extra, it's a great shooter-puzzle hybrid from the same company.
Coded Arms is blah... if you're looking for an FPS-styled action game, Ghost in the Shell is much better. (Although, as GUTS mentioned, it has long load times)
I'll second GUTS on Ultimate Ghouls 'n Ghosts. Capcom games in general are pretty safe on the PSP. The collections are solid, Monster Hunter Freedom is an AWESOME game, Mega Man Powered Up is a great remake of the original, etc.