If you're looking for the best format, period, to store your books in, then EPub would be best. However, you would have to convert to unprotected mobi to read your books on your Kindle (I checked and the only eBook formats supported are Kindle's, mobi, and PDF). It would seem to me to be more hassle than it's worth to make the conversion from ePub to mobi everytime you wanted to put a book on your Kindle. Also, if you are buying your books from Amazon and not stripping DRM, then you would have to stay with Kindle's format.
I looked up the iPhone and there are a variety of apps available that will read most formats so it appears what the Kindle will read should be your deciding factor.