Get the various stores' free computer apps and download your books to your computer rather than directly to the e-reader. (Or download epubs using ADE software.) Side load onto your reader (using Calibre as appropriate for tagging, converting or whatever). Forget about the wi-fi for direct loading onto your reader. An added advantage is that you maintain a backup of your library for the next time you want to change devices or when an online shop goes bust.
As ProfCrash says, it's up to you how you want to deal with DRM but it's relatively easy to get around. (And frankly, almost a necessity for international purchasing of English language titles.)
If you go Sony, and have a Canadian contact, register your device with the Canadian Sony bookstore and buy their gift cards through your local contact.
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