That was ... fast! Just a few weeks ago homebrew demos were released of Cave Story ports for both the DS and PSP. Looks like ufo_z is nearly finished with the PSP version and has unleashed release candidate one, playable from beginning to end with a few minor bugs due to the stretched screen size. It's not the final version, and at the speed things are going it might be a good idea to wait a few days for the bugs to be squashed. But it's free, the game's creator has given it a thumbs up, and if you have PSP capable of playing homebrew games, the thought of a portable Cave Story will probably make you too giddy to wait.