Does anyone know if I download one of these NIS games while it's on sale to my old PSP, then down the road if I buy a Go, will I be able to somehow transfer the downloaded game to the go? I'm guessing no, not without buying it again, but maybe? is it like XBLA when you buy the license you can download it again?
I'm far from certain about it, but as far as I know, as long as you have your account intact, you can re-DL games as much as you want wherever you want.
I have a PSP and a PS3, so typically, I DL a PSP game on my PS3, then copy it over later when it's convenient (DLs seem to go a lot faster on my PS3). Sometimes, though, I get a bit lazy, and just DL it again on the PSP. I did this just the other day for Holy Invasion of Privacy Badman and Prinny. I used the same account for both, obviously, and as far as I know you can log that account into multiple consoles, be they PS3s or PSPs.
Now, whether you can do the same with the Go... I don't know. I would assume so though.
DSi downloads, on the other hand, are entirely tied to the console. If you replace it for any reason, you have to pay for everything all over again. Perhaps you had the two confused?