Even if Java hasn't become very popular yet for the Pocket PC (mostly because of installation issues), it is possible to develop (and use) Java software on the Pocket PC. MIDP has the advantage of a large and growing market because the user has a large selection of software to choose from and because the developer can also offer the application for other devices.
PersonalJava offers a larger API that MIDP, so the applications can be richer in usability and functionality. However, it won't be supported by Sun for very long. Third-party solutions are roughly divided into two groups: those whose products meet Java standards and those whose products have other solutions. The latter ones tend to have some sort of hook, like easy development, easy installation, and so on to get developers to try them. Some of them are really good, but remember that because they don't meet the standards, there might be some difficulties in the future.