6charlong,
B&N uses their own DRM. (Google 'i heart cabbages' to learn more about it.) The B&N DRM can basically only be read on the B&N devices.
Kobo and Sony use Adobe DRM. B&N devices can read Adobe DRM if, say, you load the book to your Nook via the Adobe Digital Editions program.
So the practical upshot is that anything you buy on Kobo or the Sony site should work on a Nook, but anything you buy on the B&N site will only work on a Nook.
Table:
Amazon Kindle
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Reads: Amazon Kindle Books
B&N Nook
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Reads: Kobo Books (Adobe), Sony Books (Adobe), B&N Books (B&N DRM)
Kobo
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Reads: Kobo Books (Adobe), Sony Books (Adobe)
This is my experience / understanding. I own a B&N nook and I've helped my mother set up her Sony 350. Hope this helps.
EDITED TO ADD: And don't feel bad for wanting to be able to read your books on your device - that's perfectly normal! Most of us have spent $$$ and don't want to rebuy books at every device change. So ask those questions!