The PSP Go basically has all the functionality of the standard PSP without the need (or capability) to use physical copies of games. It's all digital. Prior to the price drop, I would have argued against buying a PSP Go, but since it dropped $50 in price recently, I suppose there's no reason not to go with that one if you don't already have an older PSP.
To be absolutely honest, unless you really really want to splay particular PSP exclusive games right now, I recommend that you wait a little while. Everyone expects Sony to reveal the PSP 2 sometime next year (most likely during E3 in June).