From a Windows Media-based PDA, it's pretty easy. Most PDAs have a button designated for WiFi. It will automatically locate any signals, and prompt you as to which one you prefer. Depending on the hopspot, it will either automatically connect (if it is an open network), propmt you to login, or prompt you for Network Key. (Most only ask once, unless you perform a hard reset, deleting your access information.) Once connected, launch Internet Explorer and you are good to go.
There are a few downsides, though.
First, there's the smaller screen, so you either have to scroll left and right, or have it "fit to screen," making the website endlessly long.
Second, it's considerably slower than highspeed internet, though still usually faster than 56K. (Speed varies based upon your distance from the base station.)
Finally, Pocket IE is a limited version of IE5.0, and doesn't support all websites. Currently, you can download some programs that fool websites into thinking you are using the desktop version, but some sites still won't load properly. It's rumored that Windows Mobile 2005 (due out later this year) will correct this problem. That's just speculation, however...Microsoft isn't finished yet, and is keeping a tight lip on project "Magneto."
Hope this helps,
John
<Robg> I am looking to buy a PDA, does anyone have experience of how easy or difficult connecting to the net is with a Wi-Fi enabled PDA from a Wi-Fi hotspot

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic