Big programs can take hours to compile on correct computers, this means days on the Zaurus. And ususally you have a problem at the end of the compilation and find out that you have to run it all over again...
It is true that on-zaurus compilation can be tempting, but it really isn't that practical...
I disagree, compiling large programs maybe strategically done better on a fast desktop machine (I ssh into my debian from my Z in that case) but otherwise, unless you are in some kind of hurry, do it. This is a 400MHz ARM based machine we are talking about, I ran a BSD/RISCOS RISC PC for ages as a development platform and that was only a 233 StrongARM, before that I was running GCC on an Acorn A7000, and before that an Acorn A3010, all ARM based and compared to the Z, only a fraction of the power.
When compiling, for playing (ahem!) and stuff I use my Z, if it's a beefy program or a port of something I scp the files to my Debian, ssh into it, compile (using a cross-compiler), scp it back and run.
I find the dev-img works very well on the Z, it's a pleasure to use and I find myself compiling in the strangest of places