The Sun VM is only intended to be a "reference implementation". The IBM VM is definitely better quality and more feature rich (it supports MIDP 2.0 and a number of IBM's own "enterprise" packages).
Do you have a cell phone? Most new wireless plans offer free J2ME phones as sign-up incentives. That would be a much better device to play with J2ME.
Palm made a strategic mistake (IMHO) in 2001 to drag feet on various key J2ME specs and support their proprietary C API instead of Java on their devices. That has cost them dearly in terms of both developer support and market share. In the future, I do not think they stand a chance against the .Net powered windows mobile devices and Java powered Symbian devices.