I've got nothing to recommend that's new, all new JRPGs on consoles have been nothing bad to me.
However PSP and GBA did have a decent sized library of titles to check out,
PSP- Jeanne D'Arc, Disgaea 1 and 2, Final Fantasy VII: Crisis Core
GBA- Summon Night 1 and 2, Final Fantasy VI (improved over SNES), Golden Sun, Breath of Fire 2
PSOne- Breath of Fire 3 and 4, Final Fantasy Tactics, Brave Fencer Musashi, Megaman Legends 1 and 2, Final Fantasy VII
Genesis/Mega Drive- Phantasy Star II and IV, Shining Force I and II.
But yeah, nothing really recent I can recommend, I don't like the new stuff, it's a lot of angst.
Edit Do NOT get the War of the Lions for PSP, if you want that game on your PSP get the PSOne classics version on the PSN. The War of the Lions screwed up some of the midis in the music and every single move in that game is at 1/2 speed or slower and it makes things awkward. I bought it and wanted to microwave it, 30 dollars wasted.