I finally broke down and got a Sony PSP. It has version 2.0 of the firmware, so I can’t do all of the cool things with it (just yet). However, 2.0 does allow you to have custom wallpapers, so I put together a quick Flash Platform wallpaper for the PSP.
Just right click to download it. If you want to make your own, the size is 480 x 272 (if you make one, place a link to it in the comments).
You can find info on how to load images onto your PSP here.
You can find info on how to set an image as a wallpaper on the PSP here.