Visual Studio 2005 does what you want, compile on PC, run in the device emulator, and then if that works transfer to PocketPC. Voila, native executables. Problem is the price.
I think there is also Pocket Programming Language (
ArianeSoft - Development Tools for everyone) that does allow compiling to native executables, but you need to buy the Pro version ($99) for that, otherwise it's back to interpreted...
Interpreted languages depend a lot on the system interpreting them, they provide a lot of power for what they do and can be worked on in-situ, which for small programs can make the development a bit quicker. .NET seems slow to load but once running it provides a lot of power and versatility...
From what I can tell programming on the pocket pc depends what you are willing to sacrifice, money or speed...
Microsoft do provide embedded Visual C for free, which will be able to make native executables, but it only supports writing programs for WM2003 which means that 99% they will work on WM5 but there may be some caveats. You can find it on the Microsoft site but may take some hunting to find all the necessary parts.