BlueTake is going to release an add-on for the PSP that will transmit the audio via Bluetooth (A2DP) to your Bluetooth headset. Seems like a pretty nice option, I particularly like this part of it:
The charger includes a Y cable so you can use your standard PSP charger, plus charge the PSP, the audio transmitter and an additional USB connector to charge another device (like your Razr, iPod Shuffle, etc.). Pretty slick IMHO.
No price details yet, but it could be another nice move for Bluetooth if the audio sounds good.