Sony currently sells its PSP in Malaysia. Its official site is
http://www.sony.com.my/productcategory/gam-psp The most recent model sells for RM 699.00, the equivalent of about $233 US.
As of this writing, a new PSP system in the US will cost about $130. Some retailers may ship it internationally, so be sure to check shipping policies, and ask if you have questions. If you have access to online auctions, find a vendor who will ship the system to your country without charging excess fees. A used PSP system might have some wear and tear, but it will be less expensive.
Just about every PSP game sold on discs (UMDs) is region free. So you should have no difficulty playing games from US/Canada, UK, Japan, Korea, etc.
...As for games, I'm a fan of the following...
* Lumines, a block-based puzzle game. It emphasizes timing, and has rather good music. You can find Lumines on some other consoles, but it's an excellent portable game, and the PSP version has good controls.
* Harvest Moon Boy and Girl. My favorite from the series.
* Half Minute Hero. Humorous game featuring a "hyperspeed" RPG and three other games.
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