Kindles use mobi format. Amazon's .azw if a form of mobi. Content my be purchased from any source that sells DRM-free mobi books. DRM-free ePub books may also be purchased and converted to mobi very easily with Calibre.
One may also purchase DRM versions of mobi and ePub books and remove the DRM for use on the Kindle (may or may not be illegal depending on where you live).
If you look around the forums, you may notice people with other readers purchasing books from Amazon, removing the DRM and converting to ePub for their use.
With the number of books available at Amazon, there is rarely need to shop elsewhere. And when Agency Pricing is not involved Amazon likes to charge lower prices.
