Actually that's not quite true. For WM5 devices, most installers are *.cab files. The easiest way to install them, I find, is to just bluetooth them over to the phone.
Mark/space are apparently working on a way to install the *.exe versions.
I have an Axim x51v... I like Windows Mobile 5 also.
A couple of little things...
1) For the touchscreen devices, look at
Magic Button. It rocks.
2) WM5 installations come in a mix of .cab and .exe files. The difference is that the .exe is a wrapper installer that runs on a (desktop) Windows computer and installs itself (as a sort of placeholder) onto that computer, and then installs from there onto the WM5 device. .Cab files get installed normally through ActiveSync but the WM5 device can fully manage the CAB file by itself.
For .CAB files, as stated before, it works fine to transfer them by bluetooth or another wireless means.
For .exe files, look at
FileJuicer. It does not work 100% of the time. But often, what happens is that the .exe file structure contains a fully valid CAB that can be extracted. FileJuicer wrings the .CAB out of the EXE, and then you can transfer it over just as you would for a .CAB you downloaded.
However, I have had to use ActiveSync on occasion... I don't think there's a way for instance to install firmware updates without using ActiveSync.
3)
Here's more information on using Parallels....
I don't have an Intel Mac (I ended up putting ActiveSync on one work computer and leaving my cradle there so I could charge my Axim at work). But if I did I'd probably say that, if you can get access to an inexpensive copy of Windows, that's the easiest route.