A few things that might affect your decision:
Conversions can be free for the Kindle. The $0.10 charge is only for transferring the files over the wireless connection. You can convert files for free two ways. 1. You can email the file to
name@free.kindle.com rather than
name@kindle.com. They send the converted file back to you and you load it via USB. 2. You can use the free Mobipocket software. PDF conversions vary as to the quality, though. IME straight text usually works out well. Graphics like charts and tables often don't.
Kindle can read DRM-ed Mobipocket books with igorsk's hack.
Kindle .azw and Mobipocket books can have the DRM removed with thedarkreverser's scripts. There is another format at Amazon called .tpz which I've heard cannot. I don't have any myself. I don't know how many of their books are .tpz.
Public Domain and Creative Commons books can be had for free at many sites for both devices.
There are other bookstores besides Amazon and Connect where you can buy books that can work or be converted to work for either device.
My understanding is that currently there is no way to convert Connect books for other devices.