I kept my soft case that came with the Phat PSP because the slim did not come with one. I have the case that is featured in the pic. I also have a hard see through case. I also have a nice grip case, kind of like a condom for the PSP slim that gives you access to all the right areas (the sounds so wrong).
I have the same case that is pictured. It works great. Be carefully if you buy a hard case because there is still a lot of stock out there that is for the Phat PSP. The headphone jacks are in different spots and it just won't fit right. They also are only called PSP Case since there weren't two different ones when they were manufactured.