Ever curious I went to great lengths to double check the following:
Games with Connectivity
Crash Team Racing PS2 and PSP
Unlocks exclusive tracks and vehicles
Madden NFL 06 PS2 and PSP
Save Data Swap
Metal Gear Solid 3: Snake Eater PS2 with Metal Gear Acid PSP
Unlocks cards and camouflage
Outrun 2006: Coast 2 Coast PS2 and PSP
Transfer Game Save
Super Monkey Ball Adventure PS2 and PSP
Save Data Swap
PS2 Games that are rumored to have compatibility but don't
Formula One 2006
Micro Machines V4
Last Minute addition
WWE: SvsR 2006 and you could trade created wrestlers with the ps2
