Put homebrews on it! Here's a very good site:
http://downloads.exophase.com/
Put custom themes on it! First, install CXMB:
http://downloads.exophase.com/45/cxmb-v321/
Then, get some themes from here:
http://downloads.exophase.com/category/psp-xmb-themes/
Put the CTF file in the PSP\THEME folder, create one if you don't have it.
Enable the CXMB plugin from the Recovery Menu:
1. Power off PSP completely
2. Turn on PSP while holding R trigger
3. Go down to Plugins and press X
4. Go down to CXMB.prx [vsh] and press X, you should see Enabled
5. Go to Back and press X
6. Go down to Exit and press X
Now, go to Theme Settings, then Themes, then choose the ones you want (Themes might include custom boot up, custom sounds...), press X, and select Yes, it will reboot.
Enjoy your customized PSP!!