One option is to use Calibre on a PC to convert everything to one format (typically MOBI, for Kindle, or ePub for anything else).
The best of the latest crop of readers for multiple formats is the PocketBok 602. It uses FBReader for all DRM-free (not encrypted) formats, which means that they all work consistently well but FBReader does not support all the features of all formats. I like it, and use it everyday for all my reading, but I typically convert to ePub with a custom stylesheet first using Calibre.
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