I study on the train and bus, but by "study" I mean that I just read stuff. Taking notes, bookmarking, etc. don't, in this context, matter to me.
I convert everything to ePub and use my Kobo. This includes PDF journal articles and my own notes. The conversion process* isn't straightforward or perfect, but it almost always comes out good enough. One reason I'm happy with the Kobo is that it is so small and light that it's very easy to use in this setting.
Oh, and my university library now has a lot of books in a couple of wonky online formats. Although they're designed to prevent downloading, I've figured out dodges to get at least the bits that I need into files that I can convert into ePub.
*usually PDF to ePub via Calibre, or *.doc to *rtf via word and then into ePub via Calibre -- it's fiddly but I've done it enough now that it's usually pretty mechanical
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