Symantec has confirmed that a virus for the Sony PSP does in fact exist. The virus, which was seeded in a PSP chat room, was marketed as a mod that allows you to use non-Sony software on your PSP. Once downloaded the virus Trojan.PSPBrick leaves the PSP inoperable. F-Secure has also identified another virus, EXPLOIT 2G PSP Team V1.RAR, which deletes necessary files on the Sony PSP and apparently the process is irreversible.
According to Symantec, the viruses only truly threaten a small portion of the Sony PSP gaming community as they are targeted at the modders. The viruses were released following a hack that allowed you to downgrade your PSP firmware from 2.0 back to 1.5. The downgrade was created because the new firmware, 2.0, which limited modders abilities.