I tried out the Japanese game, Kazuo, known as Go! Sudoku over here. It plays far better than I'd've thought, considering the complexity of the input, and I'm now putting that game on my to-buy list. It's only $20 new, and less than that used.
As far as I can tell, Sony doesn't provide any page with a listing of PSP demos anywhere on its site. I can't browse to the Sony PlayStation site with my PSP, even, and have it provide a list of demos to try. If an official page exists, please tell me where it is.
Update: I forgot earlier about the problems I had with the PSP site (viewed via the PSP) -- it wouldn't log me in. Just tried same username/password again and it's now allowing me to log in. I found the PSP demos page. It has three sad little demos: Loco Roco Halloween, Loco Roco, and World Tour Soccer 06.
I cannot understand why Sony is being so stupid.
When I was a Windows game player, I loved demos, and more than one of them turned into purchases. It kept me in touch with my system and I played it more as a result. Microsoft is doing something similar with downloadable demos of newly released games on Xbox Live for the Xbox 360.
Seriously, does Sony want the PSP to fail?
At least they've got SOMEthing. Nintendo doesn't allow you to acquire demos online for the DS at all right now. I think I've read that the capability will come with owning a Wii. I've been a bit miffed so far that I can't connect to WFC and get demos, but the ability to walk into Best Buy or Gamestop and acquire them wirelessly mitigates that somewhat. To bear out your anecdotal evidence, I too have made a couple of DS purchases now based on the demos I got.
I think your beef with Sony reflects on a much deeper issue the company will face in this generation. Sony is not a company that has ever had to provide services in the way that consumers have come to expect. I think the success of TiVo, iTunes, and XBox Live prove that the success of 'content providers' will depend greatly on how easily they let users get to the content, arrange the content, explore the content, etc. I don't know if such a capability even exists within Sony's DNA. They've certainly made a lot of noise about what their unnamed online service with the PS3 will offer, but I haven't seen anything 'hands on' yet, which is a little disconcerting so close to its launch. If Sony's past views on content are any indicator (we're willing to pay more for the same thing, again, and with crippling DRM in place) then I don't foresee Sony magically morphing into a company that 'gets it' overnight. Or, who knows, perhaps they've seen that the future will rely just as much on services as it does on hardware. Time will tell.