Torch has released a cool new plugin for the PSP called Lockdown In-Game. What it does is ask for password input every time you resume your PSP from suspend mode.
This is the first release, so there may be a few bugs left. Torch recommends not suspending your games while a video is playing as Lockdown In-Game doesn't work properly sometimes during video playback. Also, note that this only works in-game and not on the XMB."