Yeah, the first thing that got me to switch from Stanza to Marvin (after 1 day of using Marvin) were its
annotation capabilities. Marvin allows you to export all your annotations from a book in a single file, HTML or XLS, for example. iBooks and Kindle are too dumb to allow that.
Also, Marvin is very versatile in allowing you to
customise your reading experience: lots of fonts, dozens upon dozens of font and background colours. Again, iBooks, Kindle and their ilk are extremely crude, limiting you to a handful of fonts (not to mention font or background colours).
Why don't you have a look yourself at
www.marvinapp.com ?