Earlier this year I had a horrible time trying to find out which dictionary sucks the least. I came real close to getting the Casio XD-SW6500 but in my opinion, nothing beats the Dell Axim when it comes to electronic dictionaries. I was just listening to my favourite songs in the media player and now I'm writing this post on the screen

to use the dictionary, all i need to do is press the calendar button and it pops up. Please check my blog at opera (see my signature for the my opera link) for more details. This really is the best thing I have ever bought and I can't recommend it enough.
Feel free to ask questions, I'd be more than happy to help you out if you're interested.
Edit: The main dictionaries I use are Edict (Free), Kanjidic (Free), Eijiro and Kenkyusha (Commercial) in EPWING format. I also have a few others but realised that Edict, Kanjidic and Eijiro are really all that you need for most translations.
I've also made a lyrics EPWING file, so you can listen to your favourite Japanese songs while singing/reading along to the words but as nobody has requested it yet, I haven't released it.