I've seen sites with Mario games for download and play on the PSP. Not interested. It'd be fun to have those games, but I have no desire to do so illegally. Not to mention, I'm too lazy to go to all the hassle. Much easier to just buy the game and know it'll work properly
Oh, and there's also the bit about not having to worry about smoking your hardware.
In any event, I'll just stick to licensed games.