Broad question that probably doesn't have a simple answer, but here are some
quick thoughts:
- if you want to play around with things, you can use the emulator that you
get w/ development environments like eMbedded Visual C++ or Visual Studio
.NET 2003. you don't need a device.
- most recent PPCs will be fine for most general development
- some Smartphones aren't unlocked for development (so it can be hard to run
third party apps), so if you're interested in one of these devices, make
sure you do enough research so you're not disappointed.

also, all of the above assumes you're doing client-side development -
writing apps that run on devices - using something like eVC or VS .NET, not
doing ASP .NET work (this newsgroup's focus). there are better newsgroups
for application development, like (among others)
microsoft.public.dotnet.framework.compactframework,
microsoft.public.pocketpc.developer, and
microsoft.public.windowsce.embedded.vc.