Basically, I recommend getting a PDA and setting it up as a Super Dictionary INSTEAD of getting an electronic dictionary. If you do want to get a larger, more expensive, and generally less-capable electronic dictionary, click on the link above for the two electronic dictionary features essential to those of us who are not native speakers of Japanese. I also list a few models that have them (surprisingly, although the old Canon Wordtanks are justly famous, the new ones fall into the "ones to avoid" category for us foreigners).
What is the Super Dictionary? It's a PDA loaded up with extremely effective software. The main program is a dictionary reader, WDIC for Palm or EBPocket for Windows Mobile. You can download free dictionaries, such as my customized versions of Edict (much better for English to Japanese searches than the regular version), Enamdict (400,000 Japanese proper nouns--personal, place, and corporate names), and Kanjidic (just what it sounds like, with 6353 kanji). You can also download a handy guide to how to conjugate every verb in Edict. The big dog is Eijiro, only 1980 yen, with 1.7 million English-to-Japanese and 1.8 million Japanese-to-English entries, including a wealth of contemporary, colloquial, and technical usage, as well as phrases, proverbs, and more obscure Japanese, all with useful example sentences. I also put together a dictionary called Readings, which allows you to search Eijiro by kana reading (oddly, Eijiro is normally searchable only by English and kanji) and quickly find the pronunciation of Japanese words in Eijiro and any other dictionary--it greatly extends the usefulness and convenience of Eijiro and other dictionaries for the the non-Japanese user. And if you want to spend a little more money, you can even put the big commercial dictionaries on your PDA: Kenkyusha, Readers, Koujien, etc.--these are the same dictionaries you'll find in denshi jisho like the Canon Wordtank or Casio Ex-Word, but in a form much more useful for foreigners like us. For a Palm PDA, you'll also install a free program that includes several excellent kanji lookup tools, including handwriting recognition and multiradical look-up (works just like the system in a Canon Wordtank or other denshi jisho). The Japanese version of WM includes superb kanji handwriting recognition--even if you make several mistakes, you'll still be able to find the character you want--so WM users don't need a separate program to enter kanji. In addition to the dictionaries, both Palm and WM will run the superb kanji and word learning program KingKanji. There are free alternatives to KingKanji, but none of the ones I've looked at come close.
Final advantage--You can do all sorts of other things on your PDA, too: games, reference materials, mp3s (depending on the model), internet and email (ditto), photos (ditto), and Wi-Fi (ditto). I have a handy program for night photography and an astronomy program with very complete star charts and a system for helping align my telescope on mine, along with the standard calendar (which I use to keep track of my complicated schedule and those of the other teachers I'm supposed to be keeping track of), calculator, memo pad, photos and slide shows I use in presentations, and GPS software with highly detailed topo maps of all of Fukui Prefecture (connects to a tiny GPS by Bluetooth). And since I'd have my denshi jisho with me anyway, all this extra stuff is at my fingertips wherever I am.
Eijiro is not a free resource, but considering what it is, it's astoundingly cheap at 1980 yen (though of course that version doesn't include the yomigana added in the JLT version). For comparison, the full Edict has about 120,000 entries; most denshi jisho have 80-100,000; Eijiro currently (ver. 90) has 1.7 million English to Japanese and 1.7 million Japanese to English entries, plus example sentences, a dictionary of abbreviations, and other features you'd find in a shelf of paper dictionaries or a top of the line dedicated electronic dictionary (except that it has many, many more words than any standalone ED). Obscure words, phrases, proverbs, medical terms, collequial speech, trendy stuff, it's all in there. Trust me, if you have a real need for a serious dictionary, you need Eijiro. As an example, it blows everything else out of the water in my katsu test (how many words beginning with 活 can it find?): most electronic dictionaries find 24, old Sharps find about 50, and old Canons find about 64 (new Sharps and Canons only 24)--Eijiro finds 1279! It comes in two formats, text and PDIC. Text you'd format and set up to run with the dictionary software of your choice or even any word processor, PDIC you'd use with the Personal Dictionary program you can download for free from a link from the Eijiro site (seems like a good program; I haven't found anything else better). PDIC runs really fast. The text version is really far too big for most word processors and it simply overwhelms them, sometimes to the point of crashing them. The weaknesses of Eijiro as you get it from the maker are that there are no furigana to tell you how a word is pronounced and no ability to look up a word by reading (the opposite of the problem with denshi jisho); but you can overcome those weaknesses by adding the custom Readings dictionary I made to go with WDIC on my Palm (it works just as well with PDIC on the desktop). You can also use it as an accessory to look up any word in any other open window.
Eijiro online. Access the Eijiro database described above, online and for free, from the ALC homepage. This is the place to go if you can't find the word anywhere else. Again, I haven't spent much time using it yet, but my sense is that WWWJDIC is a lot easier to use and more practical for English speakers--but when you can't find a word there, look for it in Eijiro online. However, if you set up the Super Dictionary described above (and use the same files to put Eijiro on your desktop), you'll have all the same information (more, actually, since ALC uses an older version of Eijiro) but in a much more practical and easy to use form. Major flaw: in the online version, there's no way to find out how most Japanese words are pronounced (a few do give pronunciation guides, but most don't), and there's also no way to look up a Japanese word by reading (how it's pronounced)--you can't look a Japanese word up unless you know and can enter the kanji in it.
Jim Breen's WWWJDIC page at Monash University provides full-featured access to Edict and is the resource I used most often when sitting at my desk (until I got my Super Dictionary set up). Not only can I find words, but I can find information about kanji, find how verbs are conjugated (VERY useful), and call up example sentences (although these come up in completely random order so it can take a while to wade through them to find what you need). If you go to the Translate Words page and then copy a section of text into the box, it'll give you a nice list of all the Japanese words in the selection along with pronunciations and probable translations, which can be helpful in checking homework or studying, and is usually easier than trying to make sense of the gobbledigook that comes out of machine translation engines like Babelfish. And because it's looking up words for you rather than "translating," it doesn't feel like cheating, like Babelfish might if it actually worked well.
Did you note the common element here? All of these projects except Eijiro are based on Prof. Breen's Edict Project at Monash University. For non-Japanese, this is the best Japanese language resource around, and thanks to Monash and Prof. Breen and collaborators, it's available for free, which has spurred all these and many more projects all trying to make the best use of it.