A few weeks ago Sony Computer Entertainment launched PLAYSTATION store for PC, which is a market place to sell their downloadable PSone (and PSP/PS3 free trial) games using your computer, not PS3. The store has been there for a while and usable if you have a PS3, but opening it for a normal PC user is a huge win for them.
I purchased a new PSP slim and registered an account on the site. For some regional reason, it requires you to set your browser's language preference to Japanese, and you probably need a credit card with billing address set to Japan. Yes, now you are jealous for me having both Japanese and USA billing credit cards, just like every Japanese have been for buying stuff on AmazonMP3 etc.
The way the downloading software works is very simple. You need to install "PSP downloader" software on your Windows machine (not sure if they have a Mac version. Probably not.) and when you purchase or select a free download of trial games, the downloader app launches and it automatically transfers the game data to your PSP via USB. It just works like iTunes and it's nicely done.
Most trial version are free and PSone games are available with 600 JPY (= $5). They recently released PoPoLoCrois and other great classic games from PS one. I'd love to download and play them either on my TV screen using the TV out, or in my bed when I can't sleep.