Apparently, some Vita titles will require external memory card space to save savegame data while others will save savegame data to the internal memory on the game cartridge? The list of external memory requiring games include Ridge Racer, Uncharted: Golden Abyss, Hot Shots Golf 6, and Disgaea 3: Absence of Detention. Personally, it was more news to me that some games WON'T require a separate memory stick to save games, but hey that's just me

Anyway, here's the original text:
Some PlayStation Vita games will let you save to the internal memory on the cartridge; others require you to have an external memory card, in a situation reminiscent of the Nintendo 64's confusing "Controller Pak." Kotaku Japan compiled a list of the Japanese launch games and their memory requirements, allowing us to see how common the external memory requirement is.

Known launch window games requiring separate memory cards include Ridge Racer, Uncharted: Golden Abyss, Disgaea 3: Absence of Detention, Sega's golf game @Field, Hot Shots Golf 6, the AR title Monster Radar, and the assuredly Japan-only Dream Club Zero Portable. Everything else saves to memory included on the game itself -- with one exception: the status of (sigh) Touch My Katamari is unannounced.

That's for the retail versions of these games. Here's the list of games whose PSN versions require you to use an external memory card for save data:
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