I've been using the Omnisky modem for about a month now, and it is a nice addition to the Jornada. I have been very happy with the coverage, I've traveled to a few states with it. Keep in mind, the modem speed is not real fast. Downloading email text messages can take some time, as can downloading web pages. But if you want the ability to check on your web site, news, stock quotes, this will be a great help. The modem weighs next to nothing, and it is very easily transportable. (MUCH more so than a laptop.)
The only hitch I've found, is that it is best to make sure that you have completely closed Omnisky, Internet Explorer, and your Inbox before turning it off. Otherwise you may have difficulty connecting the next time you turn on your Jornada. However, if you just close all your apps, then turn the unit off. It seems to connect just fine when you turn it on again.
This is a great toy for your mobile lifestyle. But with the price tag, get your company to buy it for you...