Downloading games of the PSN can be great, however there are roughly three main stores (US, PAL, Japan) and they all have exclusive content, including their downloadable PS1 games. If a game is exclusive to one of the English speaking regions or Japan it'll be marked as such.
Fortunately it is easy to make three accounts on your PS3 for browsing each store. Buying is a little more complicated; the easiest way is to buy a point card. Unlike the other two online networks this generation, PSN uses real monetary units, and games are subject to tax where applicable (Tax is not applicable in Tennessee or Nevada).