... they've finally cracked the mysterious PSP-3000 model?
So, alright. To be brief: If you incorrectly install a custom firmware on to your PSP, there's a chance you could render it entirely useless -- IE "brick" it. However, by this point, installing custom firmware is pretty much foolproof. And of course, once it's installed, you get to do things like play emulators, run custom software, and maximize the potential of your PSP considerably! (I love overclocking my PSP.
All and all, the benefits far outweigh the risks, if you're willing to take the risks.