I know nothing of these things - could someone explain the ins and outs of getting books for them ?
I've had the Sony one for about a year now. I probably do about 75% of my fiction reading on it. The main reason I like it (and I was very sceptical before I used one) is that the screen is very readable, much more so than a monitor/laptop/palm/iPhone. Battery life is also very good compared with these devices (about 1 month of daily reading on a single charge).
Mine came with a CD of 100 or so out of copyright classics (Alice in Wonderland, Shakespeare, Gulliver's Travels, Illiad etc). But most of the content on Project Guttenberg and related sites should be freely available. See for example
mobileread.com for Sony eReader content and other formats.
If you want modern copyright material, many publishers and bookstores seem to offer DRM content at generally just a bit cheaper than their paper equivalents. I tend to get most of mine from Waterstones. This requires (the free) Adobe Digital Editions to transfer to the device - available for the Mac and Windows but not Linux. There are various cracked warez circulating too, but I've not touched these.
You can keep a copy of all your books on a computer and transfer to the device with a USB cable, or (with the eReader at least), use SD cards to keep the content. I'm not sure what the capacity of the reader is but I currently have about 130 books on my reader with plenty of space left.
The Sony eReader at least can display any PDF content including graphics, but if the PDF does not encode reflowing, the results can be a bit messy and probably not comfortable enough for a long book.