As I've done with a couple of other magazines (EGM and Game Pro) I have gone through and collected a list of each issues cover. I'm currently only missing a few issues from 2008. Here's the list, as of right now:
Last Updated: 03/10/2009
1997
[ ] PSM 001 (Sep 1997): Final Fantasy VII
[ ] PSM 002 (Oct 1997): Castlevania: Symphony of the Night
[ ] PSM 003 (Nov 1997): Mega Man X-4
[ ] PSM 004 (Dec 1997): Tomb Raider II
1998
[ ] PSM 005 (Jan 1998): Preview '98
[ ] PSM 006 (Feb 1998): Resident Evil 2
[ ] PSM 007 (Mar 1998): Dead or Alive
[ ] PSM 008 (Apr 1998): Blasto
[ ] PSM 009 (May 1998): Tekken 3
[ ] PSM 010 (Jun 1998): Crash Bandicoot 3
[ ] PSM 011 (Jul 1998): Mortal Kombat 4
[ ] PSM 012 (Aug 1998): Final Fantasy VIII
[ ] PSM 013 (Sep 1998): Tomb Raider 3
[ ] PSM 014 (Oct 1998): Darkstalkers 3
[ ] PSM 015 (Nov 1998): Metal Gear Solid
[ ] PSM 016 (Dec 1998): Buyer's Guide
1999
[ ] PSM 017 (Jan 1999): Preview '99 (cover: Chun-Li, Squall (FFVIII), RE Zombie, one more)
[ ] PSM 018 (Feb 1999): Silent Hill
[ ] PSM 019 (Mar 1999): Legacy of Kain: Soul Reaver
[ ] PSM 020 (Apr 1999): Wipeout 3
[ ] PSM 021 (May 1999): Street Fighter Alpha 3
[ ] PSM 022 (Jun 1999): Ridge Racer 4
[ ] PSM 023 (Jul 1999): Mortal Kombat: Special Forces
[ ] PSM 024 (Aug 1999): Dino Crisis
[ ] PSM 025 (Sep 1999): Tomb Raider 4
[ ] PSM 026 (Oct 1999): Final Fantasy VIII
[ ] PSM 027 (Nov 1999): Playstation 2
[ ] PSM 028 (Dec 1999): Resident Evil 3
2000
[ ] PSM 029 (Jan 2000): Playstation 2000
[ ] PSM 030 (Feb 2000): Syphon Filter 2
[ ] PSM 031 (Mar 2000): Tenchu 2
[ ] PSM 032 (Apr 2000): The Ultimate RPG Issue
[ ] PSM 033 (May 2000): PS2 Wrestling
[ ] PSM 034 (Jun 2000): PS2 Madden
[ ] PSM 035 (Jul 2000): Dino Crisis 2
[ ] PSM 036 (Aug 2000): Metal Gear Solid 2
[ ] PSM 037 (Sep 2000): Final Fantasy IX
[ ] PSM 038 (Oct 2000): DOA2: Hardcore
[ ] PSM 039 (Nov 2000): Lara Does PS2
[ ] PSM 040 (Dec 2000): Dark Cloud
2001
[ ] PSM 041 (Jan 2001): Preview '01 (cover: the Bouncer, Onimusha,and Metal Gear Solid 2)
[ ] PSM 042 (Feb 2001): Onimusha and Devil May Cry
[ ] PSM 043 (Mar 2001): Final Fantasy X
[ ] PSM 044 (Apr 2001): Hell Raisers (Soul Reaver 2 & Blood Omen 2)
[ ] PSM 045 (May 2001): Sega on PS2!
[ ] PSM 046 (Jun 2001): Silent Hill 2
[ ] PSM 047 (Jul 2001): Spider-Man
[ ] PSM 048 (Aug 2001): PS2's Big Guns
[ ] PSM 049 (Sep 2001): WWF: Just Bring It!
[ ] PSM 050 (Oct 2001): SSX Tricky
[ ] PSM 051 (Nov 2001): Devil May Cry
[ ] PSM 052 (Dec 2001): Metal Gear Solid 2
[ ] PSM 053 (Hol 2001): Holiday Buyer's Guide
2002
[ ] PSM 054 (Jan 2002): Final Fantasy X
[ ] PSM 055 (Feb 2002): Maximo
[ ] PSM 056 (Mar 2002): Virta Figher 4
[ ] PSM 057 (Apr 2002): Spider-Man
[ ] PSM 058 (May 2002): Onimusha 2
[ ] PSM 059 (Jun 2002): Devil May Cry 2
[ ] PSM 060 (Jul 2002): Lord of the Rings
[ ] PSM 061 (Aug 2002): Tomb Raider
[ ] PSM 062 (Sep 2002): Shinobi
[ ] PSM 063 (Oct 2002): Grand Theft Auto: Vice City
[ ] PSM 064 (Nov 2002): Mortal Kombat: Deadly Alliance
[ ] PSM 065 (Dec 2002): Midnight Club 2
[ ] PSM 066 (Hol 2002): Final Fantasy X-2
2003
[ ] PSM 067 (Jan 2003): Resident Evil Online
[ ] PSM 068 (Feb 2003): Tomb Raider
[ ] PSM 069 (Mar 2003): Enter the Matrix
[ ] PSM 070 (Apr 2003): Hulk
[ ] PSM 071 (May 2003): X-Men
[ ] PSM 072 (Jun 2003): 4th Annual Swimsuit Special
[ ] PSM 073 (Jul 2003): The New PS2
[ ] PSM 074 (Aug 2003): Metal Gear 3
[ ] PSM 075 (Sep 2003): Manhunt
[ ] PSM 076 (Oct 2003): Gran Turismo 4
[ ] PSM 077 (Nov 2003): The Lord of the Rings
[ ] PSM 078 (Dec 2003): Prince of Persia
[ ] PSM 079 (Hol 2003): Holiday Buyers Guide
2004
[ ] PSM 080 (Jan 2004): Kill.Switch
[ ] PSM 081 (Feb 2004): Resident Evil Outbreak
[ ] PSM 082 (Mar 2004): Onimusha 3
[ ] PSM 083 (Apr 2004): Mortal Kombat Deception
[ ] PSM 084 (May 2004): Def Jam II
[ ] PSM 085 (Jun 2004): Devil May Cry 3
[ ] PSM 086 (Jul 2004): 2004 Swimsuit Special (Chun-Li cover)
[ ] PSM 087 (Aug 2004): Grand Theft Auto: San Andreas
[ ] PSM 088 (Sep 2004): God Of War
[ ] PSM 089 (Oct 2004): Fall Game Preview
[ ] PSM 090 (Nov 2004): Jak vs. Ratchet
[ ] PSM 091 (Dec 2004): Rumble Roses
[ ] PSM 092 (Hol 2004): Goldeneye: Rogue Agent
2005
[ ] PSM 093 (Jan 2005): Grand Theft Auto: San Andreas
[ ] PSM 094 (Feb 2005): PSP
[ ] PSM 095 (Mar 2005): Devil May Cry 3
[ ] PSM 096 (Apr 2005): 25 to Life
[ ] PSM 097 (May 2005): Star Wars: Battlefront II
[ ] PSM 098 (Jun 2005): Ultimate Spider-Man
[ ] PSM 099 (Jul 2005): Metal Gear Solid 4
[ ] PSM 100 (Aug 2005): True Crime: New York City
[ ] PSM 101 (Sep 2005): Grand Theft Auto: Liberty City Stories
[ ] PSM 102 (Oct 2005): the Suffering
[ ] PSM 103 (Nov 2005): the Warriors
[ ] PSM 104 (Dec 2005): Resident Evil 4
[ ] PSM 105 (Hol 2005): 50 Cent: Bulletproof
2006
[ ] PSM 106 (Jan 2006): Unreal Tournament 2007
[ ] PSM 107 (Feb 2006): Splinter Cell: Double Agent
[ ] PSM 108 (Mar 2006): Driver: Parallel Lines
[ ] PSM 109 (Apr 2006): Lara Croft: Tomb Raider Legend
[ ] PSM 110 (May 2006): WWE: Smackdown vs. Raw
[ ] PSM 111 (Jun 2006): God of War 2
[ ] PSM 112 (Jul 2006): Metal Gear Solid: Portable Ops
[ ] PSM 113 (Aug 2006): PS3
[ ] PSM 114 (Sep 2006): Resistance: Fall of Man
[ ] PSM 115 (Oct 2006): Final Fantasy XII
[ ] PSM 116 (Nov 2006): Tony Hawk Skate City
[ ] PSM 117 (Dec 2006): Grand Theft Auto: Vice City Stories
[ ] PSM 118 (Hol 2006): Tony Hawk's Project 8
2007
[ ] PSM 119 (Jan 2007): Army Of Two
[ ] PSM 120 (Feb 2007): PS3 vs. Xbox 360
[ ] PSM 121 (Mar 2007): Saint's Row
[ ] PSM 122 (Apr 2007): Ninja Gaiden: Sigma
[ ] PSM 123 (May 2007): Devil May Cry 4
[ ] PSM 124 (Jun 2007): Haze
[ ] PSM 125 (Jul 2007): Top 50 Games For PS2, PS3 & PSP Coming This Year
[ ] PSM 126 (Aug 2007): The Darkness
[ ] PSM 127 (Sep 2007): Grand Theft Auto IV
[ ] PSM 128 (Oct 2007): Unreal Tournament 3
[ ] PSM 129 (Nov 2007): Uncharted: Drake's Fortune
[ ] PSM 130 (Dec 2007): Turning Point
Renamed to Playstation: The Official Magazine
[ ] PSM 131 (Hol 2007): PS3 Holiday Buyers Guide
2008
[ ] PSM 132 (Jan 2008): Metal Gear Solid 4
[ ] PSM 133 (Feb 2008):
[ ] PSM 134 (Mar 2008): Farcry 2
[ ] PSM 135 (Apr 2008):
[ ] PSM 136 (May 2008): Mafia
[ ] PSM 137 (Jun 2008): Grand Theft Auto IV
[ ] PSM 138 (Jul 2008):
[ ] PSM 139 (Aug 2008): Little BIG Planet
[ ] PSM 140 (Sep 2008): Shaun White: Snowboarding
[ ] PSM 141 (Oct 2008): DC Universe Online
[ ] PSM 142 (Nov 2008): Resistance 2
[ ] PSM 143 (Dec 2008): Prince of Persia
[ ] PSM 144 (Hol 2008): The Great PS3 Holiday Blowout (Uncharted 2 cover)
2009
[ ] PSM 145 (Jan 2009): Top 10 Games of 2009 (Fear 2 cover)
[ ] PSM 146 (Feb 2009):
[ ] PSM 147 (Mar 2009): Resident Evil 5
Other magazine list threads:
Game Informer
EGM
GamePro
The above three are ones I did up. A big thanks to Rob2600 for doing the one for Nintendo Power
Nintendo Power