jed, be wary of the "book-store supported" e-readers (e.g. kindle & nook) as they are heavy on the DRM and their range of compatible formats tends to be limited.
Suggest Sony Reader Daily which whilst expensive is more "open" with formats. Alternatively, if you can wait, there's a raft of new 3rd gen e-readers arriving in the next 3 months. Google "Plastic Logic Que" for an idea of the state of the art!