It's pretty easy, but I don't read PDF's
I use eReader, I prefer it to Stanza which imho is a little laggy sometimes. Just download eReader and you can log into free sites like manybooks or paid sites like Fictionwise right from the app. There is also a personal content feature at Fictionwise where you can upload any .pdb file (free converters are on-line for this) and download it the same way.
Unless you 'jailbreak' you ipod, which has its risks, you pretty much have to get apps from the iTunes store---but there are plenty of free ones. Jailbreaking can be a little tricky, and can damage your ipod if you screw it up. I am too skittish for it, and have found everything I need in the app store anyway, but I am not a 'power use' and all I needed was a reading program, some games and a few other little programs. I am not interested in hacking it to be a computer replacement, so jailbreaking it did not interest me. I just wanted to consolidate my devices a little so I didn't have to carry around so many things. Reading plus ipod plus games in one device is a pretty sweet set-up for me.