If you've tried to do anything media-related with your PSP using the Memory Stick Pro Duo that comes with it, you've most likely discovered just how inadequate that amount really is for storing music and video. It's fine for a few saved games, but not much more than that.
Sandisk's 4.0 GB Memory Stick Pro Duo gives you a lot more breathing room -- 128 times the amount of storage in a 32MB stick. What can you do with that much memory? You can save games with reckless abandon. You can store your favorite music as well as your not-so-favorite music. You can actually store a movie or two, depending on your choice of movies.
Not only that, you can browse the web with the PSP browser. If you've tried browsing on your PSP, you've no doubt encountered a "Out of Memory" error. I believe this is partly due to the internal memory, not just the size of your memory stick, but I used to get it every two minutes before using the Sandisk 4.0 GB Memory Stick Pro Duo -- and had to clear the web cache and history before I could browse any more. With the 4.0 GB Memory Stick Pro Duo, I've only gotten an "Out of Memory" error twice -- and both times the error seemed to have no real consequence; I was still able to continue browsing without clearing any memory out and the page seemed to have loaded just fine.
Just how much storage is 4.0 GB? That's approximately enough space for 2.7 days of non-stop MP3 music. That's enough space to actually hold a couple of movies for your next plane trip. Think about it. A single layered DVD holds 4.7GB of data, the 4.0 GB Memory Stick Pro Duo holds almost that much - and PSP video is a fraction of the resolution of a DVD. That's even enough to use your PSP temporarily as a portable hard-drive to transfer files from one computer to another.