Won't it be funny if PSP had the Dual-Shock feature?  

It would definitly be hard when you use it on the move I guess, I've never been a big fan of dual shock though so you might want to awaite some replies by avid gamers who might believe otherwise .

Vibration during the game?

That wouldn't be good since the hand-held is reading UMDs most of the time when you play games. Making it vibrate would affect the performance of the lens.. unless it would be like those CD-players that joggers use, those with skip-proof features..