When you have a music library, it usually consists of hundreds or even thousands of songs. Added up, they take up a lot of space. However, PDAs were originally designed to be just "personal digital assistants" (hence the abbreviation). The original units had a monochrome screen, just a few KB of storage, and lacked the ability to add decent 3rd party programs.
Currently, they have enough memory to store thousands of contacts, memos, etc, as well as dozens of productivity (and multimedia/gaming) programs. Only recently have companies begun to realize that consumers are wanting more...miniature laptops. Thus, companies started offering devices such as: Dell Axim X50v (VGA screen), Palm LifeDrive (4GB HD), and HP iPAQ Modbile Media Companions (designed for multimedia). These devices are the beginning of a whole new generation of PDAs.
Eventually, all portable devices will be assimilated into the PDA (camera, cell phone, MP3 player, PSP/GBA, etc). However, for the time being, we'll all just have to settle for carrying around bags of "portable" electronics, and a few extra memory cards.
John
why PDA have much less capacity than iPod?

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic