First off, NO, windows CE/Pocket PC and Windows XP are COMPLETELY different. Besides, give it some thought. You think you're going to fit programs on a 64M PDA ;P
Anyway, the OS is one thing you want to look for. Windows based PDA's are better for multimedia, where as Palm has many more free applications made. Palm based PDAs are much more simple over all, and usally only have 16M of RAM. Windows based PDAs usally have between 32-128M of RAM.
If you want to get on wifi, you should look into ones with wifi, or look for ones that are easy to upgrade. See what ports they have. Compact Flash is the cheapest for both wifi and memory, but many are now going to simply SD. THough there are wifi cards for SD slots, its much more expensive.
Screens are beginning to improve. Most of them are 320x240. Some newer ones(mostly just Windows based) are 640x480. Other than sharper images, there's not much of an advantage to this just yet. Some programs might not run exactly right either, if they were made for older 320x240 screens.
Processors...most are ARM or XScale based. I had a 400MHz Xscale and that's what most of them still are. That's probably the best all around. There are much faster ones that I have yet to try, but you need to decide if that's what you really want. A goo 400MHz one could be quite fast. Even 300MHz ones...
Um...just ask any other specific questions you might have and I'll answer them as I can.
