I've got a PocketPC (iPaq H2210) and it's pretty good at gaming ; the main problem is the tiny joystick which is absolutely unusable in action games...
Besides, I'm a programmer (for a living) and I developped a small but nice (IMHO) puzzle game, called Pocket Griddler.
It's free, of course, and it's at
http://griddler.dyndns.org
There's also a windows version, for those not having a PocketPC...
PS : use the latest (at the moment 1.1.4 beta) version !