I bought my first PDA because I just felt I had to have one. When it arrived, I set it up, looked at it, and wondered, "Now what?"
PDAs are general purpose computers. You have to customize them to make them really useful. Over time, the most important customizing I've done is to figure out where to put information. I'm going to describe my favorite ideas here, not because I think you should use them, but to inspire you - if you have a PDA, or you're thinking about one - to imagine the best organization that fits your mind.
There are people I visit rarely. I always had to ask for driving directions. Then I figured out where to put the directions so I could find them again - as a "note" attached to their entry in my address book.
Over time I've saved a ton of memos on my PDA. Some important categories are:
Howto: Where I look for detailed instructions on how to make my Doctor's office to admit he's an hour behind schedule, or how to make Turkish coffee, or how to reprogram TiVo's 30 second skip.
Todo: books to read, movies to see, things to ask my doctor, gift ideas, etc.
Trip: every trip has notes about hotel phone numbers and - often - local stores. Very handy when I go to the same place again.
PDAs are also a decent place to put secret information (credit card and bank numbers, passwords, etc.) There are dozens of PDA applications offering to keep such information well-encrypted, in case your PDA falls into the wrong hands.
PDAs are also good for dead time. When you're impatiently online or onhold, ask yourself what you'd rather be doing at the same time. There's a good chance there's a PDA shareware program that'll let you do it, whether it's reading a book, playing chess, or memorizing French verbs.