Q: Or does it have to be a certain format. The memory stick pros are like 30 bucks for a gig. I can find an 8 gig SD card for that price on newegg.
A: No. You can only use "Memory Stick Pro" formatted flash cards with your PSP. SD (Secure Digital) flash cards are a different format and will not work, nor will they physically fit, in your PSP. This has been one problem with Sony products that use memory cards, however, with the exception of VAIO computers; you are forced to use a Sony format flash card instead of the more standardized SD formats. Now, the "Memory Stick" formatted flash card does not have to be made by Sony themselves to work with your PSP, but they do need to be the right format that is made by a quality manufacturer (SanDisk, Lexar, and so on) and be of a capacity no larger than the PSP's maximum supported size to ensure compatibility.