What is a hacked PSP?

Excuse me, could you please explain what a hacked PSP is? I've heard the term before, but I'm not entirely sure of its meaning. I understand it has something to do with modifying the PlayStation Portable, but I'm unclear on the specifics and potential consequences of such an action. Is it legal? Does it void the warranty? Could it potentially harm the device or compromise personal information? I'd appreciate any clarification you can provide.