The built-in IE is often referred to on this site as PIE (for Pocket Internet Explorer).
There are quite a few alternative browsers out there, both freeware and not. Here are a few threads discussing them:
Best free browser
Pocket PC Web browsers – the complete roundup
Best browser?
I found these using the searching the forums for "alternative browser." The search found 103 threads. Maybe 104, now that I've used the term alternative in this thread...