Don't go with the PSP if the main use is going to be web browsing. It's browser is a nightmare from a UI standpoint, and also has a hard time loading bigger pages due to memory constraints on the device.

Make sure you see the browser first on any device, especially if you lean towards the PDA or smartphone route. Lots of them too are garbage at browsing the web properly.

I did find a video on YouTube showing of music, video, photo, and web features of the iPhone (same as the iPod Touch for the 4 features shown) and the Archos 605. That should give you a good idea between those two devices, and also a feel for size.

Reviews of the Nokia devices seem good for the browser, but I haven't found any good videos in a quick search to see them in action.

Hopefully this helps to narrow it down a bit for you.