Various sources, including IGN are reporting that the PSP will not feature any sort of regional lockout on its games, though movies will likely be restricted by region. Here's the quote from Sony:

"For games on PSP there is no region code. However, due to language and system issues, quality assurance procedures are done in each territory. Therefore, we recommend purchasing both the hardware and corresponding software in the same market/territory." said Molly Smith of SCE America.

This is great news for those of us that can't wait until a US launch to get our hands on the system.