Have you looked at the Reader Matrix? It offers a nice comparison of the different types of readers, including features. http://www.mobileread.com/eink/
Calibre will convert to and from .azw format, as long as there's no encryption applied to the book. Calibre is a great resource for managing your library; I'd strongly recommend it. As for collections, the reader uses metadata to decide where to place books. Calibre uses both tags and series information. So using Asimov's Foundation and Empire
as an example, you might tag it Science Fiction and Robots. You might also put Foundation as the series. When Calibre puts this book on my Sony, it shows up in my Science Fiction, Robots, and Foundation collections. The nice thing about metadata is that you can have the same book in multiple locations. The not so nice is that on both the Kindle and the Sony, you can't search on more than one thing at a time. There's no way for me to show all of the books that match both robots and science fiction.
I'm not sure if you've been to the US before, but your hotel will likely have a lobby with a front desk. If you purchase a reader online, you should be able to have it delivered to your hotel.