So far the two best readers I've seen are Adobe Digital and Mobipocket. Personally I think Mobi is quite a bit better.
However since both are free I'd wouldn't settle on one solution.
Both have search/bookmarks and easy book navigation. What MobiPocket has over adobe is RSS feeds and dictionary capability. Also Mobi
One note however if you have a DRM book adobe requires access to the internet to validate your book. Mobi just requires you register a mobile device.
With Mobipocket I can read mobi books on my computer and on my cell phone which is as Windows Mobile phone. They currently have a Java viewer in alpha
As for book content you said you read Crime Fiction/Mystery. Check out
http://fictionwise.com/
If you buy the membership, strongly recommend you will get price breaks that are much cheaper than the sony store.
Fiction wise also sells books in PDF and Mobi so you can use both platforms with Fictionwise
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