LucentBeam, I bought the Kindle3, but I would love to have the Sony features you listed, and I'm often tempted to switch.
To answer your questions, though:
You can "jump to" a specific location in a Kindle, but it's pretty clunky. You have to do some math to guess at a destination "location" (a 128 byte chunk of data, including source code), then go to it.
Say your book isn't highly formatted, so you're seeing a similar number of locations on each page, you can just multiply the average of that number by however many pages you want to go forward and add it to the current location number.
You'd then hit "menu," select "go to," type the number, and then enter.
If you know what you're looking for, you can also do a search for a phrase you know and go to it.
(Needless to say, this whole location thing is my main complaint about the Kindle.)
As for size and weight in a purse, mine fits into a side pocket of my current purse fine, even in the cover, and the weight isn't a problem at all. It depends on the size of the purse, though.
As for stores, the Amazon store was my biggest reason for selecting the Kindle. It's just so user-friendly to buy books from them, even without the wireless.
Plus, the ability to go online allows you to download mobi books from other stores or here, directly from the kindle.
I do prefer to run all my books through calibre, but when I want to grab one from Amazon, it is ridiculously quick and convenient.
Another plus with the Kindle is the ability to synchronize with other Kindle devices and applications (and those applications themselves are nicely done), the web features, like sending snippets to facebook or twitter, and the ability for calibre to wirelessly send you your articles.
It is for sure a tough choice, but I hope some of this helped you out a little.
ETA: OMG, I actually forgot to add one of the best things about the Kindle and my #1 reason for choosing it! The Text To Speech feature. That, all by itself, is the deal breaker for me. I couldn't do without it.