The question is, how much background do you have in electronics? I've never done any actual hardware hacking. But EE courses teach you alot. Like building your own 8bit computer from scratch, and making robots with microcontrollers.

Take some EE classes. Get some electronics books. Get all the right equipment. You'll very easily ruin equipment if you just go tinkering with it.

You could get stuff like Radio Shack's electrionics lab or an Arduino or similar. Grab up a logic probe, and a multimeter as well. And get to playing around with how circuits work.

You'll also really want to read up on all the possible parts to the thing you are hacking. If you know that there is a Mips r3000 chip in the device (PSP), then you know what much of the information on the data lines represents, and the clock rates, etc.

Once you really really have a feel for how the electronics work, then you can go sticking your logic probes and meters into something with a known hardware hack (most every console has some HW hack that is known) and take a good look at what that hack actually did. You need to know what you are looking for. They all deal with "glitching" something, be it a memory data line, status bit line, clock line, or power line. The hard part is figuring out what parts are talking to what other parts, when they talk, and why they talk. You then try to cut out a very specific part from the process to let your custom software get on the machine. Here is where your Arduino comes in real handy, as you can program it to act as a complicated probe that can record and translate stuff back to your PC where you can look at it. It can then be programmed to help you talk to the hardware in question while trying to hack it.