In one sense, you should use the format that stuff you want to read is available in.
If you have books in mobi, and your reader can read mobi, use mobi.
But I guess that's sort of obvious.
You want to know what to convert to if you need to convert, or what to format to choose your content in, if you have a choice?
Far and away, for actual 'ebooks' as opposed to other sorts of content, epub and mobi are the most popular formats.
That's why there are sections here for epub, and mobi, and everything else is lumped in 'other formats.'
(PDF is not exactly an ebook format in the same sense. It's a whole different beast with different issues.)
Your reader supports epub. Use epub. If you have mobi books and your reader can't read them directly, convert them to epub. epub has a superset of mobi features, so 99.9% of stuff should convert perfectly in that direction.
Think of all the other formats your device supports as "nice to know they are there if you ever need them."