For the Kobo (and Sony, I would imagine) you can create a pretend hierarchy by naming things appropriately. For example:

Fiction, Science Fiction
Fiction, Fantasy
Fiction, General
Non-Fiction, Science
Non-Fiction, History
(etc.)

Of course these aren't true folders and it isn't a true hierarchy, but it may do the job if you mentally categorize things in a hierarchy.

The other option is to use other reader software. The Aura HD has koreader, which is progressing nicely but is not ready for primetime. It does handle folders though. I picked up a Sony PRS-T1 to replace my broken Kobo and rooted it within two days in order to use CoolReader, which handles folders as well. (Of course, I'm sure there are other Android readers that would work on the Sony.)