If you lose the thing, it would suck, but as long as you back up your data on your desktop computer it shouldn't result in any lost data.
I personally went with the Sony PDA. I liked it for a few reasons over the others. First was its size. It was small enough and slim enough to comfortably put it in my shirt pocket. The first one I had was a black and white one, Sony models use in Indiglow backlighting unlike the other PDA's. In low light situations you could hardly read the other PDA screens, but the Sony was very clear and easy to read. I have since upgraded to color. Another thing I preferred was that it had an internal rechargable battery. While others offered that as well, you had to move up to a much more expensive model of the others to get that feature.
Sony PDA's use PALM OS, so they can run any programs that the Palm and Handspring can run. I liked it a lot for running an E6B program (which was required to have in the DC-9), a logbook program, and an Airline Pilot log program which kept track of my pay, duty and flight restrictions. And, lets not forget the games.
The Sony PEG-SJ20 looks like a nice one for around $189 list price. I have the Sony PEG-T615CS. That one has the color display but lists for a little more at $299, but I got mine for $259 by shopping around and getting a price match at a local store.
Good Luck,
JetPilot500