Fredrik said:
Most of the difficulties with this concept come from the fact that we're dealing with infinite-dimensional Hilbert spaces. If we were dealing with finite-dimensional spaces, it would be much easier. I think this would be a valid way to think about it: (I hope someone will let us know if I'm wrong).
Pretend that Ha is 2-dimensional and Hb 3-dimensional. Then we can write
\psi_a=\begin{pmatrix}a_1 \\ a_2\end{pmatrix}
\psi_b=\begin{pmatrix}b_1 \\ b_2\\ b_3\end{pmatrix}
and
\psi=\begin{pmatrix}a_1 \\ a_2\\b_1 \\ b_2\\ b_3\end{pmatrix}
This is not the vector product of these two spaces. I am not a big fan of how these products are discussed but I'll try to give an insight with a bit of personal bastard notation.
The \otimes-product of two vectors is first and foremost some element we don't want to understand defined by two vectors, so if we write it in a tuple way it would look like this:
\psi_a \otimes \psi_b = \begin{pmatrix}\begin{pmatrix}a_1 \\ a_2\end{pmatrix}\\ \begin{pmatrix} b_1 \\ b_2\\ b_3\end{pmatrix}\end{pmatrix}
"How does this differ from \psi=\begin{pmatrix}a_1 \\ a_2\\b_1 \\ b_2\\ b_3\end{pmatrix}?",
you will ask. In the way how we define the scalar product (the numbers are simply different vectors, but there was no space for labels left):
\left< \psi_a^1 \otimes \psi_b^1, \psi_a^2 \otimes \psi_b^2 \right> = \left< \psi_a^1 , \psi_a^2 \right> \cdot \left< \psi_b^1, \psi_b^2 \right>
The way you defined psi implies an addition of the two products and not a multiplication. To make sure that we don't confuse things, we never write the product as this double tuple as I just did, but we leave it as \psi_a \otimes \psi_b. The product space has the following base vectors (I'll use the old element names as the base vector names I hope it doesn't confuse you a_1 = \begin{pmatrix}1\\ 0 \end{pmatrix}...):
\phi_1 = a_1\otimes b_1
\phi_2 = a_1\otimes b_2
\phi_3 = a_1\otimes b_3
\phi_4 = a_2\otimes b_1
\phi_5 = a_2\otimes b_2
\phi_6 = a_2\otimes b_3
So each combination of base states is a new base vector, with our new scalar product. You can understand how your idea brakes down when you consider a particle to be in this state:
\psi_{\mathrm{bad}}=\begin{pmatrix}1 \\ 0\\0 \\ 0\\ 0\end{pmatrix}
So we know the state of system a. What is the state of system b? Did it disappear? This is also why the product of two one dimensional states is not two dimensional. The only state that we have is one where both systems are in the only state allowed.
The nice thing is that we don't need to be confused as physicists at all. That's the job of mathematicians. We just imagine the vectors to be functions and everything automagically turns out right. So \psi_a \otimes \psi_2 = \psi(\mathbf{x}_{\mathrm{particle1}})\cdot \psi(\mathbf{x}_{\mathrm{particle2}})
And the scalar product is simply \int \int d\mathbf{x}_{\mathrm{particle1}}\,d\mathbf{x}_{\mathrm{particle2}}