This is very topical for me because I just bought a Treo 650 - still in the honeymoon period but so far it has to be the best mobile device I have used. It whips my P900 for usability and expandability.
I have an hx4700 as my "main" PDA, and must admit to have really struggled with it, in terms of actually, properly, using it. Basically after multiple hassles with everything from syncing to wifi it got relegated to being an ebook reader. A couple of conversation points below -
E-mail
Sorry, but the 4700 sucks at this. Yes, I have tried both the standard WM client and also WebIS' Mail. The standard client is rubbish. Really. Mail is a nice app but glacially slow. Minutes to pick up headers only? Forget it. And this is on fast broadband over wifi.
The Treo is online and instantaneously grabs all my mail. Instant. And this is over GPRS/EDGE.
PIM
WM wins this one, but only because I use Pocket Informant and it is simply the best PIM on any mobile platform bar none. Iambic Agendus on the Palm comes close - but PI in VGA on my 4700 is just stunning. Both devices' standard apps are very ho-hum.
Office-type stuff
MS
codes the Office suite
and WM and even with WM5 there will still not be full compatibility between desktop and handheld. Hang your heads in shame.
Yes I know you can buy Textmaker etc but that's a substantial extra cost.
Docs-to-Go, while not being 100% compatible and also a cost option, is an extremely well thought out app. The Treo's small screen makes it unusable for anything but minor spelling edits though...
Input
I am never going to buy another device without a built-in hard keyboard. I am utterly convinced that a mobile optimised keyboard is a massive enabler. SIPs, even very good ones like Fitaly, are not good enough. I have the Stowaway BT KB and mouse, and it is just too much stuff to carry and waaay too much hassle to actually use.
Digital Life
Storage. Lots of it. Out of the box. LifeDrive despite flaws is a pointer to the future. Don't market a device as a digital video player, music player if I have to spend hours doing it or hundreds of dollars to enable it.
This also means nice screens (4700, X50v etc). Good media viewers and players. Good graphics hardware (X50v). Strong (replaceable) battery life. Being able to connect with cameras and printers and so on. Why don't current PDAs support DPOF or PictBridge? This would be awesome.
One-Handed Use
Treo is superb at this and it is truly a revelation to be able to perform any task without resorting to the stylus. Wonderful. Let's see if WM5 can match this, I hope so...
Convergence
I've struggled. I've held on to the two-device theory. But it's bollocks. Converged, wireless, telephony-enabled mobile devices are the way forward. The Treo has convinced me of this utterly, despite flaws. Interestingly, my P900 never did. I honestly don't know why.
I agree with a previous poster that the Treo is
currently the best converged device available.
Of course, providers have to slash data costs, increase coverage, and be more generally supportive of PDA/Smartphone devices.
WiFi is nice but I want to be connected ALL the time, not drifting between home, office or hotspots. We're looking at 3G or wide-area wireless like Wimax.
Those are the things that are most important to me specifically...
Basically, anyone who has read Peter F. Hamilton's books will know what I truly want

.
Oh yeah one final rant - syncing...too much hassle, too many proprietary syncing methods. Unless a syncing standard comes along like SyncML that is properly adopted and implemented and allows anything to sync with anything else I will just give up and go back to pen and paper.
J'bm