If you're looking to make mobile music on a PDA then you may well be looking for a mobile music studio kind of application. There are a number of options available.
Palm Operating System
The most obvious choice for Palm is Bhajis Loops. Bhajis is one of the most well rounded all in one music applications available, irrespective of platform. It not only includes sample editing, sequencing, mixing, automation, and rendering to .wav, but also can import and export MIDI files amongst it's array of features.
If you are a palm user and what a stand along application for all your music needs then Bhajis Loops is really worth trying out.
When it comes to windows mobile there is a lot more to choose from.
First off there's Griff which sports multiple plug ins, synthesis, sampling, etc.
AudioBox is a great self contained music studio application with MIDI support. There's lots more on AudioBox on the rest of the blog, so if you want more just search for it,
Finally, there's Syntrax which is another excellent application (as well as being free now) and it runs on Windows Mobile and Symbian. Again, there's more on Symbian on the rest of Palm Sounds.
This is really just a brief run down of what is around. The best thing to do is to try out applications before you buy them.