A snapstream forum member "acegolfer" has discovered how to watch TV on a PlayStation Personal - PSP real-time anywhere in the world! He uses Sony's locationfree software, BeyondTV and of course a PSP. Watch the video below and read about how he did it in this post on the snapstream forums.
Another option for watching recorded TV shows or movies on your PSP is to convert recorded shows and transfer them to your PSP. Here's an article on how to do that.