It just depends on what you want to do with it. And before you plunk down the cash, think really long about it. I've purchased both types. My personal fav is the Dell Axim. The one I have is the X3. Built in wi-fi, nice screen, Windoze based. The only reason I went with it is that I can use some GIS software on it which I can't on the Palm. The Palm is cheaper, in some respects, but overall a good machine. But some high-end Win software doesn't have a Palm counterpart.
At the very least I would get a unit with built-in wireless. It's nice to be able to snag something from online, and you'd be surprised how many unprotected wireless networks exist in this world! And for not too much more money you can get something like the T-mobile Hotspot subscription good at any Starbucks and most airports.