Microsoft mentioned that the Xbox 360 will connect to the Sony PSP and also the Apple iPod. Gaming blog Joystiq has tried to connect the Sony PSP to the Xbox 360 - and it really does work.

If you think about it, this is the first time in game console history that users can connect two consoles from different manufacturers.
You can view photos and browse the files on the Sony PSP from the Xbox 360. The Sony PSP connects directly via USB to the Xbox 360.
USB support is a nice PC inherited aspect of the Xbox 360. Microsoft breaches that the Xbox 360 is also a multimedia hub for your home not just a game console. Supporting the PSP and the iPod help transport that message.

The Xbox 360 currently only available on eBay, as far as we know.