Wish I had mine, but from testimony by owners there is a free web browser on it, so you could visit those sites but could not "shop" there.. Not as well done or integrated as the amazon store.
Amazon is in this to make money, and the purchases pay for their own transactions over EVDO. They see the EVDO as a shipping mechanism and only offer limited browsing and wikipedia as enhancements to the reading experience. Actually, the wikipedia access seen as an isolated integration similar to YOUTUBE on the iphone is extraordinarily clever.
I don't see why we would assume they would offer up free EVDO for free book sites, but you can transfer them from your PC to your kindle over USB (or pay 10 cents to email it to your kindle) as long as the book is in the right format (non-DRM mobi for example)