The Pocket Pro supports many formats, but most of them are for DRM-free (i.e. without encryption) ebooks only. There are exceptions, but most ebooks you buy from on-line stores come with DRM. The Pocket Pro currently supports Adobe DRM, which is Adobe PDF ebooks and Adobe ePub ebooks. It will probably later on (but not yet) also support eReader DRM, which is what the Barnes & Noble ebook store uses.
The Sony ebook store has announced that they are switching all their ebooks to Adobe ePub by the end of the year. So this will be a good source of ebooks for the Pocket Pro eventually, but currently they use the Sony-only LRX format.
With the exception of LRX (and TOPAZ for the Kindle), all the other popular ebook DRM schemes can be circumvented. So you can buy MOBI or LIT or eReader ebooks and read them on the Pocket Pro by stripping their DRM (and perhaps format shifting the DRM-free ebook using Calibre). Note that Adobe DRM has also beeen circumvented, so you are not locking yourself into Adobe-ready devices by buying Adobe ebooks. It will probably never be tested in court, but stripping DRM from ebooks for personal non-commercial use is likely legal in the US.
The Kindle's AZW format is MOBI, but you can't buy a Kindle ebook without either a Kindle or a iPhone/iPod Touch. A small faction of Kindle ebooks are in the TOPAZ format, which can't be read by non-Amazon devices at all.