I'm not 100% certain, as I have a 505, but I believe that the 300 supports pdf and lrf as well as epub.
The much bigger issue when you're buying ebooks is DRM. If you're going to be buying DRM-restricted ebooks, you need to make sure that the 300 supports whatever sort of DRM the books have. Your answers there are going to have to be from someone who would touch DRM-locked books with a barge pole, because I won't. Obviously the Sony store will sell you plenty. On the other hand, if you buy DRM-free ebooks from places like BookView Cafe, if they're not available in a format that your 300 likes you can always use Calibre to convert them.
The best way to get started, in my opinion, would be going to the ebook section right here on MobileRead, looking through the epub area, and picking out a few books that you think you'd like. They're the best public-domain ebooks on the Web, lovingly hand-built by MR members. Project Gutenberg has tens of thousands, as do the many sites that scrape it (my preference is for ManyBooks). Once you've gotten your feet wet with your 300 and some free ebooks -- free in the sense of both gratis and libre -- then you can decide how much freedom and convenience you want to give up.
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