I recently tried out the the new T-Mobile PocketPC Phone - serviced by VoiceStream/T-Mobile with GPRS connectivity. Although it was quite nice doing a 3-way AIM chat while in a taxi on the way to work, I ended up returning it for the Sony Ericsson T68 (with bluetooth and GPRS).
The reason for this was mostly related to the fact that the PocketPC is just not that good a phone. Using on-screen keys (no tactile feedback) and having to worry about carrying your phone is just no good at all.
Here is a great discussion on why the future is in small phones with bluetooth connectivity (like the T68) to your PocketPC and your laptop.