Larry:
With my life on the line, I cannot find the "Tools --> Manage Folders" construct you allude to. Is it fact or fiction? I've looked everywhere - even with my reading glasses on...for a couple hours. I feel like an idiot. I'd love to find it. Sync is pretty useless unless it does the subfolders. Why is this not a default setting? Why is it so impossible to find these settings. Isn't this one of the basic things this thing is supposed to do?
It's both fact and fiction. The Manage Folders function only exists in Messaging. WinMo doesn't sync Contacts, Calendar, or Tasks subfolders, which I'm guessing is what you're after.
On the device, an awkward workaround is to use "Categories" instead of Folders to segregate your Contacts or Calendar. So you could tag work items with the category "work" instead of a work subfolder. On the device, then, you could use Menu/Filter/Work to only show work-related Calendar or Contacts items.
The only real problem with the filter by category method, is while it's easy to filter by category on the device, trying to do the same in (desktop) Outlook, is a royal pain in the hindquarters, compared to simply selecting a subfolder to view (at least in OL 2007, that I'm using.) The user-defined color coding makes this a little easier- rather than filter in Outlook, you could just define a color for the "work" category, then look at, say, the "green" appointments to see your work-related events at a glance.
Before you rant about the lack of subfolder support, I should warn you you're preaching to the choir. I, too, can't understand why that's never been implemented in WinMo, despite years of screaming and moaning about it from users! 
My only theory, is that the idea probably goes back to the early days of WinMo/Pocket PC devices with less memory and processing power, which became overwhelmed if "too many" PIM items were synced to the device. I assume the idea was that your most important items would be in the main folder and would sync, and less important items could be tucked away in subfolders, and become "invisible" to the device.