I'll need to check, but I think there are some composite (red, white and yellow) cables available for the PSP Slim. Although, word on the street is that you can only use them for video and not games.
EDIT: Found some at Play-Asia, first party ones to boot. Unfortunately they can only be used for videos and not games. So much for those of us wanting to output the game on our TVs (and that's reason enough to keep me from replacing my old PSP with a Slim model).