IMO, it's more interesting to think about doing it over the internet, although obviously control lag increases. Access to a PS3-based collection of games from your PSP anywhere in the world is a pretty neat concept. And with video-out on the new PSPs, you can play such games, view your photos/videos etc. on any big screen near you too when away from home.
There's a Youtube video here of Lair over a local network. It looks playable enough despite lag.
http://www.youtube.com/watch?v=mASdFCTNA7I
That video is pretty cool. For all those reviews complaining about using the motion controls, now they can play it on the psp with the analog stick