Thanks for the help newshooter.
Great news...I just found a free program for playing MPEGs on PDAs! It was exactly what I was looking for. I just finished testing it on my PDA and it works great too.
It's called PocketTV, and has great support to boot. The only (very minor) downside is it only plays MPEGs, but that covers 80%+ of the movie files I have, and it's easy to convert the few remaining AVIs to MPEG if need be.
The website is PocketTV.com. There's also a great forum called PocketMovies.net that was exactly what I was looking for in terms of informational resources for finding the player and helping me figure out how to get it working. The PocketTV.com website is not as user friendly as could be, which I suspect is why I had as much difficulty as I did in locating this player.
Here's a link to a thread about downloading the player, the first version I downloaded for it from another site was for WM5 instead of what I had: http://forum.pocketmovies.net/viewtopic.php?t=1509
The PocketTV.com website is a little counterintuitive on the purchasing/registering point along with everything else on the site, and while it initially appears that only the 7-day trial is free, upon further investigation of the site and I discovered that while you do have to register PocketTV, registration is free, very quick, and very simple. The FAQ walks you through it step-by-step, including any problems you have along the way, so it's a total piece of cake.
I guess it all worked out for the best in that I gave up a minute too quickly, I can't be the only one that's wanted to play MPEGs on their PDA and had a tough time locating a free program to do it with. Hopefully anyone else here on GT looking for this will read my thread and save themselves the time and frustration that I went through trying to locate something. GT has given me so much great information over the years that I'm happy that I finally have a little something to give back to the community.