Luckily e-book reading apps aren't mutually exclusive.
eReader is the best app for paid books from eReader or Fictionwise (at least, the ones that aren't Mobipocket-only). Easy to download in, and it just works. As a side benefit, if you're one of those masochists who likes to roll your own eReader files, all you need is your own webserver to load books onto it. You don't even have to upload the files to eReader's or Fictionwise's website if you've got a home webserver on your PC.
Bookshelf, though it costs $10, is the easiest app, hands down, to put content onto if you've got it as mobipocket or even straight HTML. The current version does have some annoying issues, but 1.2 (which is in the pipeline at Apple, only being held up on Apple getting around to approving it) fixes a lot of them. Unlike Stanza, where you can only load in one book at a time, you can slap a whole directory worth of files into your reader at once. And best of all, it integrates with Baen's Free Library and Webscription so you can download anything you've bought from them right to your phone automatically.
Stanza has a really great selection of public-domain and free-from-author books in Feedbooks that can be downloaded directly into your cellphone, and it's free at the moment (but will be $15 when it comes out of beta)—but it's an ePub reader, not a Mobipocket reader, and the desktop conduit really does a piss-poor job of converting books from Mobi or HTML into ePub. As in, it loses all the formatting (bold, italics, etc.), table of contents, etc. And there are no prospects of that changing. Apparently to convert a book into ePub is a fairly complex process that can currently only be done through Feedbooks's on-line editor.
I use all of them for different things. You might too.