Yeah, ask away - I'll give you the basics.
The machine itself is about 250, you get the adapter, USB cable, some very nice earphones, a screen wipe and a 32MB memory card. You'll almost certainly want a memory stick (especially if you plan on running homebrew applications - see below) and they range pretty wildly in value. You'll want a 1 gig sony memory stick as a rule and they're about 140-170 retail, 75+ on ebay but those prices are likely to drop since a lot of manufacturers are getting in on the act and offering cheaper and cheaper third party sticks.
Games come on a small CD in a special case (they're called UMD disks), they're about 50 quid a pop at the moment (but needless to say pirates everywhere went right to work on finding ways to allow you to play the thing directly from a file.
Homebrew can only be run on certain version of the firmware/OS. What firmware you can run depends on what firmware but the later the version the less likely you can do ANYTHING except run sony games from the UMD disks. This is why the machine comes with a 32meg card by default, that should be more than enough to accomodate the saves for any number of games, their intent wasn't to let you cart around entire ripped movies on the thing. As luck would have it though, they did. Homebrew is anything from emulators (snes, megadrive, gameboy, arcade and so on and so forth) to e-book readers, to silly little pong clones.
The firmware is the big deal, it comes in many varieties.
V 1.50 / 1.51 came with the japanese and early american models. It allows any kind of mischief you want to indulge in - running emulators, homebrew software, cracked games and so on and so forth. I was lucky enough to (after some swapping and messing about) get one of these. V1.51 or 1.50 is the one you want, even if it takes some mucking about.
V 1.52 is the version that comes with the current batch of european models. It doesn't allow mischief of any kind at all but it is potentially downgradable to 1.51 via a downgrade that will theoretically be made available at www.wab.com Its equally possible that the downgrade will never appear, that it will turn your PsP into an attractive paperweight or will being on the apocalypse. The european models come with a demo disk that sneakily upgrades you to version 2.0
V 2.0 is the pinnacle of non mischief and is pretty much un-downgradeable at the moment and for quite some time to come. No one with any wish to enjoy their PsP should ever put the demo disk in their machine.
The PSP can't be connected to a TV by default but there is a project in the works supposedly that will allow such malarky.