There are some PDAs that offer "consumer" grade Ir. Most notably the HP Ipaqs. With the introduction of the HP 2210/2215 you get both Ir that can reportedly reach out to 25 ft along with built-in Bluetooth capability. This coupled with the Nevo sw makes the HP 22xx LESS expensive than a comparably equipped Dell Axim and you don't have to give up one of your expansion slots to get wireless capability.

If you just looking for the least expensive option for remote control then the low end Axim w/300Mhz Xscale processor and an add-on Ir card is probably the way to go.