Unit testing with the compact framework is a real chore.  There are two open source projects that attempt to address this:

http://cfnunitbridge.tigris.org/

http://sourceforge.net/projects/ncfunit

Unit Testing in Visual Studio is controversial (http://odetocode.com/Blogs/scott/archive/2007/07/23/11123.aspx).  I think it is nice to have it built into the development environment and not have to set up a custom debug to an external application like NUnit.  I have a lot of investiment in NUnit so I am glad there is a converter to the MSTest format (http://blogs.msdn.com/jamesnewkirk/archive/2007/06/30/nunit-converter-v1-1-moved-from-gotdotnet.aspx).  The great news is that Visual Studio Orcas or 2008 has Unit Testing for Compact Framework built in. (http://blogs.msdn.com/jasonlan/archive/2007/07/31/visual-studio-2008-beta-2-now-available.aspx)