A desktop machine is plugged into a wall and can draw hundreds of watts of power. It can afford a fast CPU, massive hard disk, giant screen, zippy I/O, and all the rest. It's a very nice thing. But you can't carry it around in your shirt pocket.
A PDA like a Palm lets you carry a portion of the desktop around with you, in a sense extending its reach to wherever you are. Think of it as a "tentacle" of the desktop machine, allowing it to get to places it wouldn't ordinarily fit.