Oblivion rocks my world.
I mean, wow. Easily the most amazing RPG experience I've ever had. Highly recommended.
Other than Oblivion, I've been getting in a lot of the Xbox 360 version of Ghost Recon: Advanced Warfighter. This is very good, but it does have some difficult moments. And your AI squadmates are pretty dumb and do a great job of getting themselves blown up. Considering, however, that the Xbox version of GRAW is something less-than-stellar, the Xbox 360 version is great.
I picked up Syphon Filter: Dark Mirror for my PSP, and I've been playing that with some guys at work. It reminds me a lot of Rainbow Six 3 for Xbox. And the single player campaign is very good, too. This game is very worthy of all the praise it received.
And then there's Grand Theft Auto: Liberty City Stories. I actually have never been a fan of GTA, mostly on principle. I don't have a problem with adult-themed games. In fact, I relish them. And the game itself is actually a lot of fun. My problem with GTA is the adolescent testosterone-driven fanboys the games attract. Yes, GTA lets you play as a person of rather questionably moral turpitude. That doesn't automatically make it better. It makes you immature for thinking a game can't be fun without hookers and gang violence. That said, I'm having fun with GTA:LCS, which I rented from Gamefly. Definitely worth a play if you're looking for something different on your PSP.