Well this little trick has been out for a while, but I searched the forums and couldn't find anyone posting a thread on this before, so I guess I'd just post it.
This trick will allow some UMD games to be played through ad-hoc with a friend using only one UMD! Pretty kool.
Ok so here's how it works:
1) Place the game into your PSP.
2) Start the game.
3) Start a Multiplayer Ad-Hoc game.
4) Set the time to unlimited because moving the game between the units takes a while.
5) Enter the game.
6) Once you are in the game, remove the game from the unit.7) A message will appear asking whether you want to exit the game, say NO! The game should resume normally.
9) Now take the game and place it into your friend's PSP.
10) Start the game. Now go to Ad-Hoc games menu.
11) Find the server that the other PSP has already started.
12) Enter the game and load into that game.
13) And now you are playing each other on two PSPs with only one copy of the game.
14) To end the game dont use the game menu unless your unit has the UMD inserted.
15) Press home and then exit when the grey screen comes up.
16) If your unit does freeze and it wont let you do anything just put the UMD back in.
P.S. And if you want to, you can do this with up to as many units as you wish. As long as the game supports that many players. Some games can go up to 8 players. Also to be on the safe side while playing this way, remove your memory stick to prevent any accidental data loss if the unit were to crash.
Warning: I have tried this myself and many others tried this as well. There has not yet been any signs of damaging the PSP, UMD, MemoryStick, or anything else. It is a very similar method to removing a disk from a PS2 once it's into the game.
I got this information from http://www.sahaskatta.com/html/psp.html.
A similar guide is at http://www.i-hacked.com/content/view/152/62/.
Hope this helps some people.
EDIT: Not all games work, so I'll try make a list of what works and what doesn't and I'll need some people to help me because I don't have a PSP.
THUG 2 Remix
Crash Bandicoot: Tag Team Racing
Grand Theft Auto:LCS
Socom FireTeam Bravo
Need for Speed: 5-1-0
Splinter Cell : Essentials
Midnight Club 3
Winning Eleven 9
Initial D : Street Stage (works, but the car can't move without UMD inside)