i've been using a .NET CF port of chess written by an independant developer that is pretty good and is pretty free:
http://www.valil.com/chess/index.html
The first Pocket PC Chess Game based on the Microsoft .NET Compact Framework
With three playing modes: against the local computer, against a chess XML Web service and against any human opponent over the internet, it runs on all Pocket PC and Windows CE .NET devices, regardless of processor, and also runs on the Windows desktop.