PocketPC 2003 was the basic 2003 release of the PocketPC operating system (now known as Windows Mobile), complete with Pocket Word, Pocket Excel, Pocket Internet Explorer, Windows Media Player 9, etc.
Pocket PC 2003 Premium is the same thing except with a few added programs, including Microsoft Reader, Terminal Services Client, and Pictures. Of course these additions increase the ROM requirements of the device.
Pocket PC 2003 SE was released in 2004 as an update to Pocket PC 2003. It was the first version to include support for WiFi protected access, VGA screens, and landscape orientation.
The latest version of Windows Mobile, 5.0, was released a few months ago and is available on all new PDAs, as well as an upgrade to some models running Windows 2003SE. It adds persistant memory (you won't lose you data if the battery dies), enhanced versions of Pocket IE, Pocket Word, and Pocket Excel, as well as the first appearance of Pocket Powerpoint, though it's just a viewer, among other things.
And, as Bob said, Microsoft does not sell you Windows Mobile...it's only available through the manufacturer, which customizes the OS as they see fit. Thus, each manufacturer adds it's own special tools and functionality, such as with HP's Media Companions.
Hope this helps,