Finally I finished porting GCC/Binutils to PocketPC, so now it's possible to develop right on PDA. Still much left to do, but now it can build almost all samples from PocketPC 2002 SDK without changes to source code. MFC isn't supported at this moment.
More info and downloads at http://mifki.ru/pocketgcc
[edit by Dan East]
That website is no longer available. However I've found the Yahoo Group the author created to host this project:
You will have to "join" the group to access the files. The project seems to be very active.