The first thing I purchased was some screen protectors, I chose WriteShield because everyone seems to think they are the best, but there are others out there. If you go through
pocketpcpassion.com you can get 10% off the WriteShields.
Memory - that will depend on how you will use the Axim. As a rule more memory is better, however SD and CF prices continue to drop, so I go with a reasonably priced card. I just picked up a 256MB SD card from Amazon. I already have a 64MB, 128MB, 8MB that I use for my digicam. There is a forum in here that people will post good deals on memory, check that out.
As far as I know, if you have the Wi-Fi card and are in an area where you can connect to the internet, you should be able to get IM's.
I'm still trying to decide on the extra battery myself, I plan on using mine at work, so I will be able to charge it everyday, I'm not sure an extra battery is necessary. you could always get it later.
If you just oredered you Axim you still have some time :( I still don't have mine. Do some research, and you should be fine. Enjoy!