Two books I have are:

SQL Server CE Database Development with the .NET Compact Framework by Rob Tiffany.

Also, The Definitive Guide to the .NET Compact Framework by Larry Roof and Dan Fergus.

The first one does a fairly good job of talking about SQL Server CE (as one might expect), and I tend to go to it as a SQL syntax reference. The second one wanders over many different topics. I have used it for several topics, some of which it covers in greater detail than others.

Basically though, the .NET CF is much like the regular .NET, with the major differences being in how you design a program to work on a PDA. The first book goes into a fair amount of style issues, and makes one really useful suggestion for PDA programming: Forms suck! They are too slow to load on a PDA for a good interface. The solution, as described in the book, is to put all of your screens into panel controls, and swap panels in and out of view. This works really well, and has the appearance of forms without the load cost of forms. For that alone, the book was worth it....but now you know, so you need some other reason to buy it.