Microsoft claimed that Internet Explorer for Windows Mobile 6 was a big improvement on previous versions. That wouldn't be hard, seeing as earlier versions were roughly equivalent to most of IE3/4.
Unfortunately, IE for WM6 isn't that much better. Quite a few websites I visit render poorly on it.
I'm a big fan of Mozilla, and they've produced Minimo. This runs like a very slow dog and seems to crash more often than not. Hopefully it will improve over time, but I'm not sure that there's much (if any) further development going on.
I tried Opera's mobile browser, which looked really good. It costs money however, and I'd prefer not to pay for a web browser.
Today I came across Skyfire. It's a free browser, initially for Windows Mobile 5 & 6. It's still in Beta, and for some weird reason, while you can sign up for the beta, if you don't have a US telephone number, you can't get it at the moment. A bit strange as they do say it will work over WiFi too.