uh, I'm fairly interested in this and I don't have a Go (just a normal PSP) but aren't the games tied to your PSN account? SO even if you did sell it with the games installed and such, the games should still belong to your account.
I'm fairly certain that it works like that (not like the awful DSiWare system) and for you to keep the games, you would disassociate the PSP Go from your PSN account.
This is also a concern because I would associate the Go with my PSN account regardless of whether you wanted to keep the games or not, rendering the games that are already installed unplayable.