The problem with the Nook is that it does not allow you to download books directly onto the device from sites other than B&N. You can download the books onto your computer and sideload, but you can only download via wifi or 3G from B&N.
Most of the other devices will allow you to visit and download books from pretty much any site, which gives you access to
www.manybooks.net (the mobile version of which is
http://mnybks.net/),
www.gutenberg.org (the mobile version of which is m.gutenberg.org), etc.