A new GTA title for the PSP was announced recently, however, the name of it is still unknown. It's been confirmed in this press release that it will be "all-new". Presumably this means a new city, new cars, characters and missions etc.
View Take2's Fiscal 2005 Results for the full press release.
Additional products expected for fiscal 2006 include the newly announced Grand Theft Auto: Liberty City Stories for PlayStation 2, tentatively planned for release in the second quarter, Bully for PlayStation 2 and Xbox, two new titles for the PSP handheld system, including an all-new Grand Theft Auto, a title based on a new brand for the Xbox 360 and a sequel of a Rockstar brand, all from Rockstar Games; The Da Vinci Code, Prey, and 24: The Game from 2K Games; various other sports titles including NBA 2K7 from 2K Sports; and Family Feud for multiple platforms from Global Star.