Note the small print, "Software titles cannot be added on via download or any other way," So no access to the PS3/Vita catalogue of 100+ classics, which is deeply annoying. My first thought is why didn't they do a portable version based on the Vita design, rather than having those blotchy blob polys and vertexes writ large on a HD screen? At least give people the choice.
Also, the controllers are pre-DualShock, so expect lots of tabloid "PlayStation sent my child to the hospital with his thumbs rubbed off" stories!
Big question has to be, where's the Mini Dreamcast, come on Sega - do it!
Update: Here's the full EU list - Rayman, Grand Theft Auto, Toshinden, Ridge Racer 4, Mr Driller, Metal Gear Solid, Twisted Metal, Oddworld: Abe's Odyssey, Syphon Filter, Tekken 3, Tom Clancy's Rainbow Six, Wild Arms, Cool Boarders 2, Final Fantasy VII. Jumping Flash, Destruction Derby, Revelations Persona (as PSP title Shin Megami Tensei), Resident Evil: Director's Cut, Super Puzzle Fighter II Turbo and Intelligent Qube (available on Vita as Kurushi Final).
2019 Update: The launch was a disaster and the remaining stock is being sold off cheap by retailers, but even then it is still not worth it.