The Sony readers, except the PRS-300, accept SD or ProDUO cards, so you can load your books onto the card then into the reader without using the Sony software at all. You can buy books from the Sony store if you say you're in the US and you have a US billing address for your card. Your IP won't matter.
I don't think the Kindle reads PDFs natively at all. You have to email them to Amazon for conversion. I don't know about the Nook.