Well, it becomes uncomfortable to hold after an hour or so - I've always found myself moving around just to find a different position to hold the PSP in because of the heft. Then again, I have one of the fat ones - they might've reduced the weight on the newer ones, I don't know.
It's the same knock I had on the original fat DS as well (playing Metroid Prime Hunters was a chore on it), which was why the DS Lite was such a big deal when released.