i never changed the OS on my pda (had wince 2002) but it wasn't so bad. i wanted to install FamiliarProject but i needed a serial dock, i only had a usb dock.
there is this little program i found that allowed me to OC, it boosted frame rates on my gameboy and nes emulators like crazy (though ate through the battery noticably faster too).
if you have wifi you can do web stuff (if you OC, ie will load pages a bit faster). internet will be slow on it for one simple fact that it cant render the content fast enough, but OCing helps.
AIM for WinCE and MSN CE are useful apps for chat on the go (when in a wifi zone). unlike AIM for PC (and especially linux) which suck, AIM for CE is the best chat software for oscar.aol.com
i installed this media player which supported all the formats WinAmp supports so i could listen to more than what WinMedia would allow, i could also stream from shoutcast.