Many people seem to like iPhone/Ipod Touch, most Blackberries (but not the new touchscreen one), and Palms. The Windows-based PDA's don't seem to get a lot of love. I went over the course of a few years from Windows + Palm to Mac + iPhone, and I'm really happy. The Palm Centro is a low-cost smartphone, with Treo's a more expensive Palm option. However, you might want to invest ~$50 in the new GTD paper binders as a cheaper way to get started rather than the potentially $100's to $2000 or more that one could spend on software and hardware to "implement GTD."
I have an excellent method of gathering information (via a digital recorder) but I do not have a good to do list, or "bucket" or place to keep the information.
Most evening, I type up notes from from digital recorder. I am an attorney and I have a ton of information. I type them into a word document, but I need to get them into something better than that.
It sounds like the problem is information, not next actions per se. The problem with a digital voice recorder is that somebody has to get the information out, and into either your lists or into reference. Where does your "stuff" need to end up? You may have an "inbox" you like, but if your stuff can't go where it needs to, it's not a solution. So you have to look at how you want/need to make your lists, and how you deal with reference material. There are many factors to consider. You don't say, for example, if you are using a PC or a Mac.
This may not work for you and certainly isn't going to solve your processing issues but I have a PDA/Phone AT&T 8525 (HTC based Windows Mobile 6). I have one of the keys set to the voice recorder (figured I'd throw that out) and obviously I synchronize with MS Outlook so I get calendar, tasks, email etc...My info is all stored within Outlook and I dump my voice recorder and go through my inbox to push things into that system.
Basically I have a desktop at work. I travel with a laptop which synchronizes with the Exchange server. At all times I have with me my PDA/phone which also synchronizes wirelessly (if you don't have that, syncing with the computer is fine). Everything is replicated and having it electronic facilitates this and makes my load lighter. I also maintain folders at home and work. I might carry a few with me in the briefcase. One that gets a lot of use at home is the "Current Materials Folder". While I am electronic I might keep various reference materials in here for simple "in process" items that I'm working on.
Right now it sounds like you are having implementation issues. That gets overcome via the "find a way" and "just do it" at first until it becomes a habit (this also helps fine tune and discovery). That said, if I were you I'd think about your situation, style of work, portability needs etc...This stuff is what drives your final system and makes it convenient for you. My main point and one that others would stress is not to get lost in identifying the perfect system from the beginning or throwing money at it but more importantly get organized with something workable. Switching and altering systems isn't very hard once you have a workable system in place. Perfecting a system before getting organized is a recipe for continued chaos.