Well, the PSP Go is sexy, at least compared to the previous PSP models.  One reason why I stopped using my PSP for Music and started using my iPod touch was because even the largest iPod models will fit in your pocket.  A PSP-3000 will maybe fit in your coat pocket.  Another issue with using the older PSPs to play music was that the left and right buttons were all too easy to hit (which would skip to the next or previous song) - Since the PSP Go slides shut when the keyad is not in use, this is no longer an issue.

The whole device is smaller, so the screen is of course smaller too, though not that much smaller.  (Still slightly larger than the iPod Touch).  The device is also a similar form factor to the Mylo, which means it's a good form factor for actually using the built-in Skype client.  If you think it might replace the Mylo 2, or another dedicated Skype phone, just remember that Skype can't run in the background on the PSP.

Despite the lack of UMD support, the PSP in Japan comes with a voucher for a free game download.  Great! you might think, but the this is where the first problem begins.  The PSP store won't let you in until you update, and to perform the system update you have to download it first.  Once downloaded, though, it still won't install until your battery is at 100% (which takes quite a long time, and there is no menu option to show the exact batter status).  All in all, if you were thinking of buying the PSP Go, throwing a few games on it, and then heading to work in the morning, think again.  

Worst of all, this inconvenience seems to be the result of poor planning by Sony.  First of all, why should I be required to have the latest system software to even access the store?  That strikes me as something they are doing "because they can"(tm).  Next, why won't the software update with the battery at, say, 90% ?  Yes, it would be bad if the system ran out of power half-way through the update, but the fact is that the updates only take a few minutes.  At any rate, it may be a one time deal, but you will have to spend a few hours charging and updating your shiny new baby when you get home - instead of being able to play with it.

Once the system software update is installed, you can use the online store, but only if you register first.  Also note that you can change your address after registering, but not your region - and that codes for one region don't work in others.  Downloading takes quite some time, even on a fast connection - much longer than can be excused.  

Some examples:

On the one hand, it's not that bad, because you can just set it to download before you do something else (like sleep).  On the other hand, if you want to download a few games before work or school in the morning, forget it.  Worse yet, there doesn't seem to be any pause/resume functionality.

Many reviews of the PSP Go bemoan the fact that the UMD drive is gone.  Yet, everyone complained about the UMB drive as well.  You can't have it both ways.  Personally, I am glad Sony removed the UMD drive, and I am speaking as someone who owns several UMDs.  Yes, they should have a trade-in program, and yes, I hope they come up with an easy way to transfer games between PSPs, but at the end of day, this is a new platform, the trade-off was calculated.  If you don't like the non-UMD PSP, then you are not in the target market for it.  Just like I don't complain about pink nail polish being pink, people shouldn't complain about the non-UMD model of the PSP being non-UMD.  The PSP Go is designed to compete with the iPod more than the DS, and thus it is better suited for people who will tend to use it for music and photos (and other apps) with some gaming, than for hard-core gamers.