Here is Mark Ng‘s reply:
Yep, both US and Japanese versions are available. Japanese version costs around RM1000 or less. The US one is about USD$200 more(RM1200+).
Some shops are even carrying UMD Video. Most of them are Region 1.
Avalaible in Imbi Plaza, Sungei Wang, 1 Utama, MidValley Megamall and lots more.
My two cents
Seems like PSP is not as expensive as I thought. Check out PSP hacks for more things you can do with a PSP.
Update: PSP is more affordable nowadays, which is under RM1000.
Get the Latest Price on the Sony Playstation Portable (PSP)
Compare prices on the Sony Playstation Portable (PSP)