Welcome to MobileRead, Order!
The only presently available e-ink device that comes close to your list of requirements is the iRex iLiad. I don't, however, believe that it can handle dictionary lookup for PDF or HTML files. Anything you can get into Mobipocket format, it should do lookups for you. It does have annotation capabilities for PDFs.
Even the iLiad is going to be a bit cramped for reading PDF files that are formatted to A4/letter sized pages, but it's the only one available that can make any real claim to handling them.
A note on MP3 players -- just buy another brand of player.
There are a multitude of name-brand players out there that aren't iPod, aren't expensive, and work just as well. I have a Sansa Express 1GB player (with a micro SD expansion slot) that I got for playing audiobooks. I've been quite happy with it, and it only cost me $40. It also has a 16 hour battery life, which is very nice.
Generally speaking, a Reader that plays audio isn't going to be all that great a quality on sound (fine for the non-audiophile, but nothing special), will take up a lot of you memory with audio files, and speed your battery draining. A dedicated MP3 player may well be a better solution for what you need, but only
you can really decide that.
