Making apps power aware, especially through the device Power Manager works, but the code is kind of ugly and a pain to implement.  Once again SDF 2.0 simplifies things:

using System;
using System.Windows.Forms;
using OpenNETCF.WindowsCE;

namespace WindowsCETest
{
  public partial class MyPowerAwareClass
  {
    public MyPowerAwareClass()
    {
      DeviceManagement.DeviceWake +=
       new DeviceNotification(DeviceManagement_DeviceWake);

      PowerManagement.PowerUp += new DeviceNotification(PowerManagement_PowerUp);
    }

    void PowerManagement_PowerUp()
    {
      MessageBox.Show("The Power Manager says I'm awake!");
    }

    void DeviceManagement_DeviceWake()
    {
      MessageBox.Show("Device notifications say I'm awake!");
    }
  }
}