Well, different formats will lead to different solutions. I have mostly experience with annotating PDFs on my iPad. For that, the best solution I have found is an app called iAnnotate. On it, you can annotate (free-hand, highlight, bookmark and so forth) and embed annotations directly into the PDF for viewing on your PC.
It won't sync across multiple device, as far as I know, but it links to Dropbox - so you could annotate a document, upload it back to Dropbox with a simple click and then re-download the annotated file from Dropbox on your other devices - and then further modify it.
It's not free and I bought it a while ago, so I couldn't tell you how much it cost.
Another good option for PDFs is GoodReader. I prefer iAnnotate, it is a bit smoother, but both are good.
And the reason you probably got no replies is that this is not the forum on which you typically see these kind of questions. You might want to re-post under 'Which one should I buy?' - there are plenty of threads like this there - you might want to, by the way, take a look.
There is also an iPad forum...