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I've played a little bit of MHFU and I'm liking it better than 3U so far (maybe because I've played 3U so much xD)
Every MH game has had online play in some way. The PSP games needed AdHoc, though.
I've also only played MH3U, on my 3Ds, so it kind of has to be my favorite. It was a great game though, I'd recommend it. I did have a tiny bit of trouble with one specific part though, haha. It had a good plot and great graphics. I'm considering buying previous versions.
MH Tri was never on PSP lol