So its sounds like you are satsifed with your Kindle but want to know if there is something better out there?
Format really doesn't matter. Amazon's format looks great on the Kindle. Epub looks great on the EPub readers. There are suppose to be things that you can do with an EPUB that you cannot do with Mobi. Amazon is switching to a new format that is pretty similar to EPub so that will change in the near future. Even if it wasn't, I have been using a Kindle since they came out and have not had any problems with how things are formatted.
What is more important is that you are happy with the features and the bookstore. The Kindle, Nook, and Sony are pretty similar in the major features (book marks, annotation, some type of collection availability, and the the like) The Kindle has speakers and can be used to listen to audio books, the Nook cannot. I don't know about the Sony. The Kindle has text to speech, the other major devices do not.
Honestly, if you are happy with how your Kindle works, stick with your Kindle. Download your Amazon books to your computer as a back up. If you want, remove the DRM just in case one day you do change e-readers and you will be fine.
Assimilation does not have to be painful. Here, have a cup of tea.