There's No Second Analogue Nub On The PSP Go, But It's Certainly Planned For The PSP2.

Many consumers expected it to have two, seeing as the lack of a second has been one of the biggest complaints for PSP consumers. In the latest issue of Game Informer, Sony Worldwide Studios President Shuhei Yoshida discusses the reasoning for excluding a second nub.
[quote]
We also felt — like many users — that we wish we had a second analog on the PSP. But we are talking about the mid-life cycle of this platform, and the PSPgo is designed to be perfectly compatible with the PSP-3000 and all the games that released before that. So we had a very serious discussion about this particular subject, but we decided not to add a second analog, and some of the developers are doing quite a nice job translating the second analog functionality to different buttons. We didn't want to divert their efforts either.</blockquote>

So basically, no second nub on the PSP Go for fear of splitting the userbase. But a second nub on the PSP2 is virtually confirmed.