Carole5012, the only unit so far that can download books without connecting to a computer is the Kindle. (The Kindle also has the most streamlined interface for finding and buying ebooks.) Regarding your other concerns, as Penforhire pointed out, there is no universal format yet, and the different vendors are using different proprietary formats that can't be read on each other's devices.
You might want to look at the ebooks sold by the different companies, e.g. Fictionwise, Amazon, Sony, etc. and see which vendors have the most books that you'd be interested in reading. Not all books are released as ebooks, sadly.
