AIGO is currently (May 2003) the best go playing program available for the Palm, but it's still pretty weak (25-30 kyu?).
This program has been plagued with bugs from day one. Many upgrades have caused total system crashes in the Palm OS. BEWARE! Atsushi Iizuka will cut off your availability of upgrades after a while and make you pay for a new license. Very poor business practices, slow response to email and indifferent support make this one of the worst choices I have ever made in Palm software.
Remillard: AIGO is more like 50 kyu. I'm 25 kyu currently at KGS and just this weekend I gave AIGO a 2 stone handicap and beat it with 185 points. It really blunders. I wouldn't recommend using it to study, but perhaps from time to time to play Go at a bus stop or something. I think playing it too often could hurt your real game.
Grauniad: It doesn't seem quite so stupid at 9x9 go.
ChessWhiz: I can beat it consistently on a 9x9 giving it 9 stones, and my strength is around 1 kyu. It makes rather horrible mistakes even on a very local level. However, it is sometimes still quite entertaining! :-)
ColJac: It seems a little more playable on smaller boards. As a player a tad better than 20k, I give it 5 stones on a 13x13 and get some amusement out of it. Also, I find this to be the nicest board for a quick game with another person on the Palm.
Aigo is apparently also an SL deshi.