Are all PSP games going to be downloadable now?

Not all of them yet, but they just added like 96 full games and some other download exclusives at launch.

I also I should mention the Go does come with Rock Band Unplugged Lite which is a 5 song version of Rock Band Unplugged, however you can still use any downloadable content available for it. Being a game I would never buy under any occasion I consider this a pretty good deal.

Nevermind, I would buy it. I suspect a full version on download is imminent anyway.

What do you think is more worth it for me? (I'm new to PSP, so I don't have any UMDs, so leave those out of the picture)
A Go for $250? Or a Slim for $100?

A Slim. I love my Go, but I'm basically using it as an all purpose media device. If you just want to play games I'd get a Slim. However, I think the Go is great for people that need that extra 16 GB with expandable memory.
Really it comes down to whether you want to buy from brick and mortar or go entirely digital.

Ok, cool!