After finding the list of excellent [hidden-features] questions I was a bit surprised that such a question for Windows Mobile did not already seem to exist. Fire away!
For instance, it has a Run dialog, just like its bigger brother!
While holding the D-Pad down, tap-and-hold on either the clock or the battery indicator in the title bar and release D-Pad to show a menu to open clock settings and the elusive dialog that's equivalent to Windows+R
in regular Windows.
There is a debugging dialog built in: hold your D-Pad, tap-and-hold on a blank section of the title bar (between the start menu and the notification icons) and release the D-Pad to open it.
Did you know that the clock you can show in the title bar has a context menu that can be used to switch it between digital and analog?
Off hand I'm not familiar with any hidden features, but if you go to http://www.ppcgeeks.com they probably have more than you ever wanted to know about your particular phone.