I read on my Kindle, iPhone 4 and iPad. They are easy on **my** eyes in that order.
The Kindle display is my favourite and feels most like a book. With the reduction in price I felt I could justify having one just to sit by the bed.
I use my iPhone 4 when I am out and about, stuck in a queue or on a bus. If I could only have one device, that would be it.
The iPad is lovely for magazines and newspapers. Books are fine, but it is such a big device that I find the volume of backlit screen (even on lowest brightness settings) leave an imprint on the back of my eye for a minute after I turn the light out.
The Sony 505 was my all time favourite reader, but I read lots and lots of Kindle books these days. I can't be bothered with DRM stripping when the Kindle software is so ubiquitous, so it's bye bye Sony