Picked this up this morning from the Hong Kong PSN for HK$320 (About US$41 / £26), it's also available on the Japanese PSN store for Y3990, and of course is available on UMD (£31.62 on playasia.com).
Just wanted to write my quick impressions of it so far (been playing it for about 2 hours or so).
Firstly, and suprisingly, it's not too bad. My expectations of this game were very low, due to the general opinion of KOF: Sky Stage being very low, but it's been pretty enjoyable so far.
As you may or may not know this also includes a full port of KOF:Sky Stage as a bonus mode, other than that there is also story mode, challenge modes, multiplayer mode, and a museum (gallery). So there is plenty in there.
I have not actually tried this game in horizontal mode yet, i went straight for tate mode, as i am not so fond of squashed screens in shmups. Whilst in Tate mode you can customise your buttons to be set to the analog stick, making it alot easier to hold the psp and play it vertically. Although not as accurate as playing with actual buttons it does work and makes playing vertically alot better.
One thing to note though is that users who use the PSP Go (probably not many) and planned to use the ps3 pad to play in vert, there does not seem to be any option to rotate the d-pad so there is no point to use a ps3 pad.
Gameplaywise you can pick from a decent amount of characters; Kyo, Iori, Athena, Terry, Kula, Mai, Akari, Iroha, Marco, SYD III.
Each has their own unique shot patterns, power up shots, and bombs based on the games they are originally from. Also each character has a form of shield attack performed by pressing the power up shot once (you normally hold it to get the power up shot).
Stages branch off after each stage, so for example after completing stage 1 you can pick from either stage 2-A or 2B and so on and so forth.
Graphicswise it does not look brilliant, enemy ships are very generic and are not very impressive to look at.
Similarly with the backgrounds they do not look great but are passable, the actual character sprites though do look fine.
Music, i've noticed quite a few remixed KOF themes and am not familiar with others. It does sound good though, personally being a fan of KOF music anyway.
I'll try to get some videos and photos up at some point over the next few days, as well as hopefully some more in depth information about gameplay.