i've never felt less "locked in".
i'm thinking it's an issue for readers who aren't handy with conversions. and like kindlekitten says, there are online stores that don't support one reader so they cater for more formats.
the thing is: if a book is restricted on amazon, chances are i won't be able to get it on sony, mobipocket, B&N, etc, either.
and in my experience, amazon tends to serve buyers from a wider range of countries than the other stores mentioned before.
but hey to each their own!