Well, speaking as a fellow Mac user, if you've a 10.5+ Intel Mac, you should download the Barnes & Noble eReader app.
In addition to the B&N store formats, it'll also read DRM-free ePub and eReader (PDB) formats.
And it'll do bookmarks and take notes attached to each "page" (and go to said page when you double-click on the note). You can also highlight in 4 user-selectable colours, copy and quote selected text.
I'm not sure you'd be able to sync your notes and bookmarks between computers, even by the expedient of just copying over the B&N userdata, but at least you can export the notes as a plain text file from within the app itself.
It does have a nasty tendency to crash on certain files (new improved version has been promised for over a month now), but apparently that can be gotten around somewhat by going into the Get Info panel and setting it as a Rosetta app.
So far, I think it's the best available Mac reader for what you want, given that Kindle for Mac can't highlight or take notes or even copy/paste yet, although if you run the slightly more advanced Kindle for PC within Parallels or the like (doesn't work with Wine) you can do those things.
And B&N apparently gives you a few free books (a couple of their annotated classics, plus a Merriam-Webster dictionary) just for signing up an account with them.
ePub doesn't actually store your personal bookmarks in the file, but it does allow for linking back and forth within the file itself for stuff like footnotes and tables of contents and such.
It's also an exceedingly easy format to tweak and convert to anything else you might need.