With the exception of Barnes & Noble, any Adobe Digital Editions book (ePub or PDF) will work on the PEZ. To use the Sony bookstore, you have to install their reader software for the downloads.
Be aware that while the PEZ will work with lots of unencrypted formats, the only two encrypted formats it can open are ePub and PDF. Fortunately, these are becoming universal formats, so they are widely available.
Barnes & Noble decided to go with a different encryption system for their ePubs. Adobe claims that a new version of ADE will be released to the ebook manufacturers this spring so that new firmware can be developed. It's possible that everything will work out perfectly and B&N books will work on other devices besides the nook. It's also possible that I'll win the lottery and world peace will break out. I wouldn't hold my breath for any of those.
There are a couple of websites that make it easy for you to search for books and compare prices.
http://www.inkmesh.com/
http://ebooks.addall.com/