I've heard several different stories; the one Anime-loo said is one of them.
The one I've heard most often, though, is that while the basic Playstation format remained constant, there were actually several different versions of it that shipped at various times, with slightly different hardware/software configurations (ie. if they changed the psx OS code a little bit). The Dual-Shock package was one of the "major" revisions, or so I heard, for example. Thus, the letter X attachment was meant to denote "all versions" of the PS, or something like that.
Heh, speaking of that, I remember back when PS2 rumors were first coming out, there were a bunch of people in my neck of the woods at least who were calling it PSY...
---Skorpion