The PSP Go leak confirmed two things: that the device was real and that it's coming at E3, and that Sony's experience with the Mylo internet device wasn't going to be wasted. They look almost exactly the same.
There were a couple hints leading up to this. There was the patent for a mystery device that could browse the web and play back music—but also had a touchscreen. There was the rebranding of the Mylo into an Internet Device, which was strange to us at the time.
But why is Sony using the Mylo body to make a flash-based PSP that won't replace the PSP 3000? I have no idea. Maybe they felt bad for the only very lightly-used machines and molds they had for the Mylo and wanted to give them a purpose? [PSP Go]