I highly recommend the Logitech X-530 5.1 system. It sounds very loud and it's fairly cheap. The game adapter allows you to use the speakers on the PSP, or PS3, etc.
hey guys! the psp console (i own a 2003) is very loud if it is used with proper headphones. i tested on my psp 2 types of headsets,both sony, both internal, one with impedance of 16 ohm, the other 32 ohm. the louder was the one with 16 ohm. it was also more expensive. so the most suitable for your psp is the headphone with impedance 16 ohm. give it a try and come back with feedback.