Welcome to MobileRead, Ed.
Ebook devices all have their own formats and books aren't interchangeable. (I'm talking drm'd books now)
You can't read kindle books on Sony or Nook, or Sony books on Kindle or Nook, Or Nook books on Kindle or Sony. Legally.
You need to check out which stores offer the most books you are interested in, for the lowest price.
If you have a library nearby that stocks a decent selection of epub books, you can download them to your computer and transfer to your Nook or Sony or some other devices.
Here are some ebook search engines.......enter title, or author or both, and get prices from several different sources. Since the Nook is so new, yhou might have to go to BN directly for their prices.