EA is in trouble. Madden '06 on the PSP has issues. Some are minor, like the kick meter not showing up (just pause and it comes on). Some are big (the game locking up as it loads briefly between plays). Some are on a whole new level.
Various message boards have been ripping the company for releasing the game like this, and I just experienced it myself. Though it's random, the majority of the time it happens during week 2 of a franchise. When the game is over, the game literally shuts down your PSP, losing (obviously) the game you just played. It doesn't seem to matter which firmware you have. It just happened to me 10 minutes ago after week 3 on firmware 2.0, so yes, it does happen.
Newer reports however are saying your memory stick may be erased. During the saving process, it's apparently wiping memory sticks with corrupted data as it shuts down. That, thankfully even though I'm backed up, didn't happen, and while plausible, seems unlikely.
It's probably just people looking to bitch about EA and make the situation worse, but the shut down glitch is real, and if you were looking into buying it, it's probably not the best idea.