Calibre (freeware) can easily convert HTML docs into an ePub or mobi/KF8 so you can read them on any app that reads ePubs or Kindle books. If you convert them to ePub or mobi/KF8 you can highlight and bookmark them in many of the apps.

EDIT: PDF Reader Pro is really good, but it is a paid app. Adobe Reader is available for free, but I rarely used it so I cannot remember whether it is good or not.