Daijirin and Koujien are the authoritative Japanese language dictionaries. Note that these are not Japanese-English dictionaries. If you're not studying Japanese at a fairly high level, you almost certainly won't have much use for a Japanese-Japanese dictionary, and indeed you may find it extremely difficult to use one (please don't think I'm being snobby--I’m describing myself here, too).
Rather than rewrite what so many others have done so well, I'll just offer a very brief summary. While Koujien has a full page with screenshots, etc., that doesn't mean I favor it over Daijirin--at the time I made that page, I hadn't yet found a source for an EPWING version of Daijirin. Now that I've got Daijirin, I don't have time to create a beautiful new page.
Most of the standard denshi jisho used to include Koujien as their Japanese-Japanese dictionary, but in recent upgrades, many high-end units have switched to Daijirin. It also seems that most experts recommend Daijirin over Koujien for non-Japanese users. The reason is that Daijirin puts a bit more emphasis on contemporary usage, whereas Koujien emphasizes classical Japanese. However, Daijirin will serve you perfectly well for classical Japanese and Koujien will serve well for contemporary. The difference in emphasis is noticeable, but both are superb general purpose dictionaries. The main thing you'll notice is that Daijirin orders the definitions of a word according to how it's used--the most common definition first. It also tends to use example sentences that are easier to read and, some say, give a fuller idea of the nuance and usage of the word. Koujien orders definitions according to historical use and tends to draw example sentences from classical literature--the examples can thus be quite difficult to read. Here are a fuller discussion of Daijirin and one of the differences between Daijirin and Koujien. Of course, if you Google "daijirin" or "daijirin koujien" (in English, without the quotes) you'll find quite a few different perspectives. I also suggest that, if you are in a course of study, you ask a professor who knows you and your course if she thinks a Japanese-Japanese dictionary would be helpful, and if so whether she recommends Daijirin or Koujien for you.
For information on how to use the EBPocket software and the PDA itself, see the general documentation.