Not actually tried it but you should be able to do it with multiple user accounts under Windows/OSX. It doesn't keep anything with the actual program or installation data. All of the keys and data are kept individually per user.
\Users\Username\AppData\Local\Amazon\Kindle For PC\ is where it is for Windows 7 at least. You'll have to substitute \Documents and Settings for \Users in other versions.
I don't think you can have multiple Kindle accounts in a single Windows/OSX user however. Not without constantly swapping files around in the user data area.
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