I have an older HP iPaq, and I love it for managing my lists; but I would never use it for capture. I tried it -- believe me, I tried it -- and it almost ended with my high-tech toy smashed into a thousand tiny pieces. The handwriting recognition is pretty good, but it's just bad enough to be really annoying. The soft keyboard (the one that pops up on-screen that you type on with the stylus) is better, but just too slow for capturing a lot of information quickly. I suppose if I had blackberry-style thumb-operated keyboard, I could get a little quicker and it would be less annoying.
In the meantime, I use a good-ole pocket-size moleskine for ubiquitous capture; then transfer it to my iPaq (or type it into Outlook if I'm sitting at my computer) when I've got enough time to do so. It means that I have to carry both my iPaq and a notebook, but I guess that's what messenger bags & backpacks are for. If I happen to be out and about without either (rarely, but it does happen), then I just use the voice recorder on my cell phone.
Oh. Almost forgot... The built-in to-do/calendar are serviceable, but not all that great. I highly recommend spending the $20 or $30 to buy something like PocketInformant. The first two weeks I had it, I found myself constantly saying "It would be nice if it did xxx...", and then 5 minutes later I would discover that it did, in fact, do xxx.