There’s some cool new Windows Mobile Virtual Labs on MSDN. One goes through developing managed applications and the other goes through native code applications:

Windows Mobile is more than email. Windows Mobile lets you re-use your existing infrastructure, business logic and desktop code on a mobile device, to innovate and solve new business problems. By leveraging the familiar.NET programming language and Visual Studio development environment, you can use your existing development skills, and push corporate data out to your users in situations where a desktop or laptop solution is not feasible.

Windows Mobile 5.0: Developing Managed Applications for Pocket PC and Smartphone Devices

Windows Mobile 5.0: Developing Native Applications for Pocket PC and Smartphone Devices