In general, you can't use Kindle ebooks or B&N ePubs on your Sony because of the DRM (encryption). All other stores use Adobe DRM on ePubs, and these are all compatible with the Sony.
The Kindle store has the largest selection, and, if you are willing to strip the DRM, you can buy from Amazon. Register for Kindle for PC, buy and download the Kindle AZW ebooks, install Calibre and get the 3rd party plugin for Calibre that strips K4PC DRM. Then convert from MOBI to ePub for your Sony. You need the tools_2.4 bundle, and Apprentice Alf's Blog is the best place to read about DRM issues.
Note that in the US, it is almost certainly legal to strip DRM from ebooks you bought to read them on devices you own.
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