I have a Dell Axim with WM2003SE and it works wonders for everything from email/web access, to displaying GPS, to watching full-length DivX movies, to playing MP3s, to organizing my life, to viewing M$ Office documents, and to get back on topic...
I've also used it for LiveATC! I have my own streaming media player that I use, but have used the included WMP too. Both work alright. I've been on many wireless networks, and none have proved to work well. There are many more interruptions and buffering problems on the PDA than I've seen on the computer. I've done everything from isolating my network to maximizing the CPU speed on the PDA... nothing fixes the problem.
It works well when you're out, but I wouldn't suggest using it as a primary feed source... just my 2 cents of experience.