I can't speak for any other e-readers, but I can for the Kindle.
The Kindle's keyboard allows you to make your own notes. Some people complain about the K2's keyboard; I like the fact that the K2 has separate numeric keys: the DX doesn't, but I like the DX's tic-tac shaped keys better because they're a bit more raised than the K2's.
On the Kindle you can search the book you are in or in all the books/documents on the device.
Making a bookmark, highlight or adding a note is easy, and the best thing is that it's so easy to access. When you make a note in a book, a little footnote appears on the page where you made the note. But while within a book, if you hit Menu and select, My Notes and Marks, you can view all your notes and highlights for that book. That area tells you the location of the note and the preview of the sentence that was highlighted or the note that you made. Also listed in this section is your bookmarks.
I find when a book doesn't have a table of contents, I can make my own easily, by leaving a bookmak at the begining of each chapter as I go. So if I want to go back a few chapters, I just go to My Notes and Marks, and there it is, my own Table of Contents.
Amazon backs up all your notes and highlights for Amazon bought ebooks, so long as you can syncy up to the Whispernet every once in a while. You also have the ability to view your notes and highlights online, here;
http://kindle.amazon.com/. I found this very helpful when I was away from my Kindle AND computer, working on a Jane Austen essay.
Another good thing about the way the Kindle handles notes and Highlights is that the notes are not just stored with the book itself, but also in a text document titled My Clippings. My Clippings has all the notes/highlights and bookmarks you have made on every book/document on your Kindle. What better, if you connect your Kindle to computer you can open up the file, add and delete content from it, or copy and paste notes, quotes, highlights into another document!
As a student I find this really convenient.
I really didn't realize how good a job Amazon did on this until recently; I heard the Nook for example, at this time has no way to view all the notes you've made in the book. You have to page through every page until you find the note on the particular page you made it on.
I hope this helped some!