With my US carrier it depends upon what account options you have with your cell plan. They offer three sms plans each with a different per message charge for overages. If you don't have a plan, the charge is $0.10 (US) per message. Other carriers charges for no plan fees are (+-) 2 csnts or so.
There's also several million pda users who use email instead of sms. Blackberry's and Treo's are very popular to the point where the manufacturers have difficulty keeping up with demand. In my experience, email hits my pda faster than sms. YMMV.