I have had a kindle 3, a nook, a sony 500 and 505, and just bought a 650.
The reason sony wins out over any other brand I have tried is one simple thing. They allow you to put a collecting in the order YOU want it to be in. If you are reading a fantasy series and it has 10 or 15 books in it, or you are reading a 3 part series, doesn't matter. You can choose to have what book you want be #1, #2, etc.
Every other ereader that allows collections that I have played with (kindle3 and nook 1.5) has it set to only be alphabetical order only.
That is a huge problem for me. I don't want to root my nook in order to keep books in the way I want. I like the fact that sony does this natively.