For the majority of users I think that collections are about equal for Sony and Kindle, especially now that you can create collections on the device on new Sony's and don't have to rely on calibre tags or the Sony software.
For my own uses, I give the edge to Sony. That's because I can use the Sony software to order my books in any way I want (that would appear random to anyone else!) and do not have to rely on default sorts like author, title, date. I can also rearrange my books and collections quickly on my computer and then sync using the Sony software. I think there are PC programs for collection management with the Kindle, but I haven't used them (I have a Mac).
I keep all my ebooks on my Sony sorted into loads of collections, including one called "Read". I keep only the books I am reading on my Kindle also sorted into several collections. When I am done reading a Kindle book, I move it into the archive.
As far as periodicals, Amazon has a wider selection. The ability to subscribe to my local paper and cancel the print edition was one of the main reasons why I bought the K3. I subscribe to the Wall Street Journal on my Sony, but all other periodicals I get from Amazon. Calibre's Fetch News and Instapaper ebooks will work with both models. However, I like that both calibre and instapaper can email the documents to my K3. On the other hand, it's not that much of an inconvenience to me to sideload.