I originally had some fancy-schmancy leather cover that cost the earth and took up way too much space. I've replaced it with a cheap and cheerful clear plastic cover that does the job.
Pros: it makes it easier to locate the buttons beneath the screen, and the cover over the screen is hinged so you can always pop it up if you need maximum clarity.
Cons: You need to be careful and double check that the charge cable is properly seated and ensure the orange light glowing when charging the PSP.
Overall: For the price, you can't go wrong. It probably doesn't offer maximum protection, but it will ward off everyday scratches and wear and tear.