Connie,
in the current PDA market, there are two major handheld devices, Palms and
Pocket PCs. Pocket PCs use a flavour of the Windows CE operating system, I
think, whereas Palm devices use the Palm OS. Of these devices, Palm devices
will work "out of the box", as you put it: they come with a Mac-compatible
software called Palm Desktop which will allow you to transfer data from you
Mac onto your Palm and vice-versa. Additionally to that, there are free
conduits available for iSync and Entourage, which means that if you'd rather
use other software than the one provided by Palm, you can easily do so, for
example by synchronising your contacts and calendars with iCal and Address
Book through iSync, or by synchronising your Palm data with Entourage.
Pocket PCs, on the other hand, are more popular among Windows users, so they
don't come with Mac software, i.e. they won't work "out of the box". The
iPaq is one of those; note however that there are third-party solutions
available which will allow you to sync them with your Mac. By the way, there
are also more advanced third-party solutions available for Palm handhelds,
in case the conduits that come with it are not powerful enough for you.
So, to sum it all up: most Palm OS devices will work "out of the box",
Pocket PCs won't. And Palm has announced that they won't be supporting the
Mac platform for future releases of Palm OS, so as long as the Palm pilot
you'd like to buy runs on Palm OS 5.x or lower, everything should be
alright.