If this were a "which do you prefer", I'd have to say neither, as I still prefer my old Game Boy Advance, but since it isn't, I'd have to say the DS has the better games and the better game variety, so that's probably the best choice.
The only advantage the PSP really has is the ability to view movies on it, and you can do that with a DVD player. On a PSP, obviously, you can watch movies on the go, but the screen's so small, you can't really see much anyway.