In the case of the Kindle, you probably can just shop at the Kindle Store. They have a huge selection and are rarely undersold. The downside of this is that you are tied to the Kindle and its successors, although the encryption of most Kindle ebooks can be broken (so they could be moved to a non-Amazon device later on).
If you don't want your ebooks tied to a single vendor, then the Sony or the Kindle can be used with MS LIT ebooks. Buy them from many sources (e.g. FictionWise), break their DRM (i.e. their encryption) with ConvertLIT and convert them using Calibre for Sony or any one of several programs (e.g. Windows MobiPocket Reader) for Kindle.
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