Reports are coming in that the initial shipment of PSP units is seeing some defective units getting to the public.
These defects include:
Dead pixels, as many as 3 per screen with the problem.
Broken UMD drives.
Analog nubs not working.
Sony has yet to make any official announcement about any of these issues, and about how users with any of these problems can recitfy them.
Be sure to check back for Sony's response to these issues.
UPDATE: More problems ahoy!
Analog nubs not just not working, but actually falling off.
PSP is turned on, but does not start up.
Screen has air bubbles.
Screen has dust on the inside.
Also, as for the UMD drive problems, some have reported the drive not closing completely, and the UMD, when the PSP is twisted, actually flies out!
Most retailers are stressing the fact that these problems don't occur in the majority of PSPs, but take caution in importing until Sony gives an official announcement.