I tried PDF and also the converted version (in Calibre) of same books. When you are a little bit limited with free space (as Sony reader in its main memory is), it is always better going with smaller files. And there, the epubs rule. Much smaller(generally, sometimes they are just a little bit smaller), with the possibility to set the correct font size in Calibre and with the fact in mind that epub becomes a de facto standard for ebook publishing, I think they are better solution. The conversion process is fast and straight-forward in Calibre, so I would recommend you ePubs.
BTW, the extended memory via SD or MS card is a nice feature, but according to some reviews, using them drains battery faster and slows down the response time for page changing. So, I use primarily the main memory and it's quite limited, but enough to put a good quantity of books, especially if their size is small, like ePubs.