Palm still lack video support because you should convert a video file to another proprietary format before using it and it doesn't allow streaming, while Windows Mobile 2003 on the other hand include Windows Media Player^TM for Pocket PC which allows streaming and viewing Windows Media formats.

Both Palm and Windows Mobile 2003 have support for Bluetooth and Wi-Fi but Pocket PCs are the only devices to support Bluetooth and Wi-Fi in the same device like the HP 5000 series and the Toshiba E-750.
The difference in memory management between Pocket PC 2003 & Palm OS 5 is that both Windows Mobile 2003 has an amount of memory that should be kept to be able to run the applications while on Palm OS there is no need to that: this is due to the multitasking capabilities of Microsoft OS.
What's new in Palm OS 5:

• Improved GUI: support for higher resolutions i.e 320*320
• Security: the OS support 128-bit encryption, SSL is also supported.
• Multimedia : support for sound and video, this take full advantage of the new ARM processors
• Wireless connectivity: 802.11b is supported , Bluetooth, GSM, CDMA.

[1]:Battery life varies from one device to another but generally speaking Palm OS has the best battery life followed by Symbian OS and then by Microsoft Pocket PC.
[2]:Symbian OS has software for the old OS of Symbian OS5 (Psion handhelds,i.e. Epoc Release 5) that can be ported

P.S :I tried to make this comparison the most objective possible one: I have no relations whith any companies mentionned above.