Ohohoho. You are in for a treat. There's tons of awesome games on the system. Especially when it comes to RPG's. You'll enjoy Dissidia and FFIV. I know I did.
Still, it'd be nice if you told us what genres you liked. I'm going to assume you like RPG's, since three of the games you are wanting are Final Fantasy games. Until then, I'll just tell you my favorites.
Persona 3 Portable- easily the game I spent the most time on. Super long, super fun, awesome story, and suprisingly replayable. Far and away my favorite game on the system, and one of my favorite games ever.
Valkyria Chronicles 2- super fun, long and challenging. Really unique too.
Ys VII- a fantastic game. It's got a great battle system, and I have yet to find someone who hasn't liked it. I suggest getting it, especially since it's cheap.
Patapon- really unique. Pretty much different than any game you'll play. I'd recommend getting the second one, since it's the cheapest. They're all great games, though.
LocoRoco- really weird. Fun. Cheap.
Rock Band Unplugged- quite the excellent music game. I loved it.
Motorstorm: Arctic Edge- my favorite racer on the platform, although you may want to wait on it until you play more of the games you got, since three of them are racing games.
Disgaea 1&2- both excellent SRPG's. For some reason, I only ever liked SRPG's from Atlus. Don't know why.
EDIT: Oh wait, you're from Europe. Hmmm... Under ordinary circumstances, I'd say too bad, but the PSP is region free, so you can just import stuff. I don't know if any of the games I mentioned aren't available, but if they aren't, I'd jump on some of them, especially if Persona 3 and Valkyria Chronicles 2 were the case.