I have a Dataman S4 but basically only use it for 'transportation' (in the field to the office) purposes. It's not the best programmer I can imagine for use as hobby programmer and it's bloody expensive as well. I also have a Hi-Lo systems ALL-11 programmer and although not the cheapest around either I can recommend it. It can program the whole range of devices, including PAL's, GAL's, EEPROM's and the lot, has standard logic testing facilities and is very easy to use.
If you plan to do just some simple uC programming, consider using ISP's: saves a lot of money.