The limited-edition Daxter PSP Entertainment Pack just went on sale for $200. The pack includes a "Ice Silver" PSP2K, a copy of Daxter; Family Guy -- The Freakin' Sweet Collection on UMD and a 1GB Memory Stick PRO Duo.
Is Sony worried about other handhelds? I doubt that. The PSP and DS are both doing well, but likely since newer PSP firmware will boost its ability to integrate with the PS3 they want to increase interest in both units.
Earlier this year, the version 3.5 firmware release for the PSP enabled it to remotely access PS3 content. It is clear they want these two beasts to walk hand in hand.