I did not have as much luck with the blackberry connect as others (like on howardforums) reported. Nor did I have much luck with the MS Push, although that was using a Zimbra server, not exchange and I suspect that was the problem.... I do have a lot of luck with the IMAP IDLE connection...essentlally once it makes the IMAP connection it stays "alive" and you get new headers instantly. Once you open the mail, it does have to download the message (about 5 seconds over edge). Coincedently the MS Push option works the same way.
The other option is RoadSync for $60, but I couldn't find any real advantage to that.