I have an Ericsson T39m and a Compaq iPaq H3970. Currently I use SimpleSMS to send and receive SMS. Very practical, you have access to your Phone Book, can send messages to multiple recipients, reply, forward and copy.

The Bluetooth connection is fast for this type of use, and their website has a list of compatible devices. Of course you can use infrared or a data cable too, but wireless is so cool!