I need it to be able to connect to GPRS without other devices. More links = more things to go wrong...
As far as I can see there are not many PDAs with GPRS built-in. A friend who works for Ericsson had the most horrendous horror stories of trying to get his Voda 3G card to work. PDA on hols is a bit easier to use/carry than a laptop, as I don't go on holiday to business class hotels, or hotels at all, very often.