You can import certificates onto some PDAs. How you do that depends on the version of software. In WM6 all you need to do is generate the right type of cert file and then open it in the UI and the certificate(s) will install into the chain(s).
However there is a major problem with some versions of WM6, in that PEAP-MSCHAPv2 is not supported. The symptom will be that you will not be able to get into the "EAP Type" "Properties" menu and a message will pop up saying you need a personal certificate. We have found no solution to this problem yet. Some discussion boards say it works just fine, but it is obvious they haven't actually tried it on WM6.
Instructions for various Microsoft PDAs are easy to find by googling "WM5 WPA certificate import".