I think that there are two categories of games out there you can download, homebrew and commercial games. The latter should quite obviously be illegal to download and install on your PSP, regardless of what these sites say. The former, well, let's talk about that...
But before we do, let me say that my experience with sites like pspblender and allpspgames is that they are charging you for something you can get for free: access to the world of peer to peer (p2p) networks and/or bittorrent networks. If you've heard of the popular application limewire, you have your entry ticket into the world of p2p networks.
You can dig around just a wee bit if you want, actually. Go to Mininova.org and search for "psp". You'll see, there's a lot out there for the taking. But no, it's not legal regardless of what someone says. It's simple: if you buy and copy a DVD and distribute it, if you buy, copy and distribute an audio CD, or if you buy, copy and distribute a Sony PSP game, you're breaking the law and liable. Not a good thing at all.
Homebrew is a different story and I've said many times that I wish Sony made it easy for third party programmers to write additional games and applications for the little Playstation Portable device as it'd make the PSP more fun, more cool, and tap into the greater creativity of the overall user community rather than just the well-funded commercial game developers.
I am definitely a fan of homebrew, as is obvious, and since the p2p networks are, in fact, so incredibly ingenious about distributing large file sets, it's a logical pairing. But do you need to pay to become a member of one of these psp torrent network gateways.
However, installing and getting those homebrew to work and avoid issues of viruses and potential damaging software is a bit of a challenge, and, yes, I do get email every week from someone who has had their PSP "bricked" or broken from a bad or malicious download. Perhaps what's needed is a site that can certify homebrew apps as being clean and trustworthy. Ideally, Sony would sponsor this effort, but I don't see that happening in the near future.
Hope this helps you gain some clarity regarding these sites and whether they're a good path for you to travel for finding more games and software for your PSP.
And while you're here, don't forget to check out my additional psp help and much more tech support here.
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Just wanted to add some stuff-
1) Even though these sites that offer PSP games SAY that they will work on any firmware, this is completely not true. Only firmware 1.5 is capable of ISO launching- fact, fact, fact.
2) You are 100% correct in saying that these sites are illegal. In fact, they are the lowest of the illegal sites. Not only are they illegal, but they make you pay for illegal services that can be had for free. Yeah, that's right- all that these sites are are indexings of .torrent trackers of PSP ISO's and videos and such.
3) You mentioned that it would be nice if there was a trustworthy PSP site. There are several download sites that are completely trustworthy, but the best is definitely dl.qj.net .
-Volsfan91