Kobo, Sony, Nook and Kindle all work reasonably well. The big issues are supported file formats. Kindle uses its own proprietary DRM with what is essentially mobi. As a result, it is relatively easy to transfer non DRM'd mobi titles to Kindles. As others have pointed out however, if a book is not sold by amazon, then odds are you are not going to find it anywhere else (except maybe author's website, in which case it is likely not DRM'd.
Kobo and Sony both use ADE for DRM. Books bought from either should work on either provided they both use the same ADE authorization. I think the Nook can read these as well, but I am not 100% sure. In regards to DRM, nook is nice in that its DRM is more social than not (i.e., pretty much anyone can read the book if you are willing to give them your credit card number
).
Which one is best will depend a lot on your own desires and preferences. Amazon certainly has the richest eco-system; if you you have the kindle app installed on your smartphone, you can read there, and then switch to your reader and the reader will know where you left off. On the flip side, this also means that Amazon is tracking your reading habits; probably benignly, but perhaps not.
I am using an old reader (a Sony PRS-505) and Aldiko on my Android, but as a general rule I prefer to buy from B&N if I must buy a book with DRM because its DRM scheme is by far the friendliest (as I reckon things). But for someone who just wants to read, the Kindle is hard to beat.
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Bill