Welcome, period3!
I recall seeing someone post that he simply kept his Kindle's wireless turned off because, like you, he didn't want Amazon recording his device's contents. B&N's Nook also plays big brother. If you're content to live w/o wireless, then it's really a non-issue for you. Get whichever device appeals to you, and don't use the wireless.
My purchases have mainly been from Amazon and Barnes & Noble. At both stores, connection by your device is unnecessary. I imagine that holds true anywhere you go. You can download the file from the store to you computer, and from your computer to your device (via USB).
Lots and lots of threads here about choosing an e-reader.
