iTunes has that same problem. Their mpeg-4 audio files won't play on my PSP, so after paying $30 for a bunch of music from iTunes, I then had to go and torrent the same music in order to actually listen to it. Pretty ridiculous. :/
I love owning media in a tangible format, but at the same time such tangible formats are fairly impractical when you can access them far more easily from a hard drive. For instance, every time I get a new CD, I convert the whole thing to MP3 and put it in my iTunes, then I put the CD back in the case and only ever use it again if I'm going on a road trip. I'll do the same with all my cassette tapes once I get around to fixing my audio card.
Anyway, more on subject, the notion of storing games to flash memory is a step in the right direction. Having a little 40GB internal solid state hard drive? Pretty stupid. With the DS, Nintendo puts their games on small solid state ROM cards manufactured to a very specific make that only works with the DS. They're cheap to make, they load quickly, and they're a hell of a lot more portable than a ROM disc of any kind. If Sony had simply decided to sell their games in the form of an alternative iteration of their own line of solid state drives (Memory Stick Pro) for the PSP GO, similarly to how the DS produces theirs, I would actually consider buying one.