I was in a similar position to you, upgrading from a Palm PDA to either the Cybook or Hanlin (at the time Sony wasn't available in the UK)
I went with the Hanlin and I'm glad I did.
Advantages: Battery is a common nokia type that is easily and cheaply obtained. Hanlin is cheaper than Cybook. Wider supported formats without need to convert, just drop on SD card and you're away. The book shelf uses a dir hierachy too, you put folders on your SD card however you want, then just navigate it via the menu system on the Hanlin. Personally I think this is a key feature and something the Cybook makers should consider adding.
Downside: If you want mobi, you may or may not get it with the Hanlin. There was a firmware update that added it, but it took way too long to turn a page and was removed from the newest firmware. Whether that was the reason for the removal I couldn't say. Also the cybook does look nicer. The Hanlin isn't quite GPL compliant, although they're a lot more compliant than the Cybook! Finally, the material the case is made out of, had a strong smell, although after a week airing it, that's gone (wouldn't stop me buying it again, but worth knowing about in advance
With the release of the Sony reader though, I think my choice would now be Hanlin vs Sony, especially since Sony added .epub.
If you want mobi support the cybook may be the better choice. If you're happy to convert books from mobi to html/fb2 or another format, then the hanlin may be a good buy and _might_ in the future get mobi support again (but there is no guarantee)
The hanlin does support epub and recently .lit support has been added, although both still need a bit more work before I'd be happy to recommend their use, they are usable, just not quite ideal yet. Currently the best format for the hanlin (imho) is fb2. It's trivial to go from .lit to html to fb2, which includes all the cover art, images and so forth in a nice readable format. Hopefully the .lit and epub viewers will reach a similar level before too long.
For conversion software, I've been using convertLit, then any2fb, a set of python scripts that do a great job of going from html to fb2. They'll take all linked images from the html page and embed them into the fb2.
Sony/Hanlin/Cybook are all good devices from what I could gather when I looked into them. Don't rush into buying one, but equally don't agonise over which to get for too long
They're all good for different reasons and I'm sure I'd have been just as happy with the Cybook or Sony as I am the Hanlin.