Bought one the day they came out here also, what can I say......awesome! They totally live up to the hype. Play one and you'll want one! Have got ridge racer and toca 2, both really good games.
You're basically getting a mp3 player, portable dvd (umd is the format for the psp), jpeg viewer, web browser (via the wifi connection to a pc ) and games console all for £179.99! Also the screen is really good quality.
They will play films from either the memory card (memory stick duo) or via the UMD (universal media disk). You'll need a card reader for your pc to transfer data to/from the memory card. Games will also run from the memory card or UMD.
To be able to store films on the memory card you will need to buy a minimum of a 512kb card as the 32mb is only really big enough for saved games and a few mp3's / pictures. Best bet is to buy a 1gb card and you'll be able to fit a film or two on one card and still have some room for saved games, music ect. Also if you've got a sony mobile with memory stick duo card then you'll be able to put it in the psp and view them.
Iain