PSP games.

Of course that if done properly you won't brick it but lets say your battery is 80% and the DC cable unplugs and you don't notice and you leave it there while it's flashing the software and the battery goes under 60% you're pretty much fucked up. Or if you use a Pandora Battery. Dunno, anything can happen

So pretty much if you're stupid.
You can pineapple up any electronic by being an idiot. That's not just the PSP. As long as the OP is careful in what he does he'll be fine.