Kojima Productions, which need no introduction, have revealed over on their production blog that the upcoming PSP exclusive Metal Gear Solid: Peace Walker will include an optional install.
There will be two options available, a smaller 300mb one and a much larger 800mb install. Both will decrease the load times and gameplay response, how much depends on the installation you choose.
With the main benefit being faster load times, you'll also get an increased battery life since the PSP won't have to keep accessing the UMD. How this will effect the digital-only PSP Go is questionable, no doubt it won't be included since it wouldn't have any effect.
You can look forward (as we all are) to Metal Gear Solid: Peace Walker which releases on June 18 in the UK.