Hmm, the choice is pretty much going to depend upon what format your existing files are or where you are planning to buy.
Windows mobile as mentioned by others is probably the most flexible choice, with support for the most formats, especially DRM formats (DE, Mobi, eReader, Lit, etc).
One thing to keep in mind is that if you get one from your carrier, it will often be loaded with a ton of bloatware. As I usually buy unlocked phones, its not that much of aproblem, but I'll suggest loading one of the non carrier ROM's if you are technical (
XDA Developers is agood site to check out)
An iPhone is also an option, as it does make a good reading device, with Stanza, bookshelf and eReader Apps providing a nice interface. Having said that, getting your own content onto the device can be a pain, especially as you require wifi to get anything onto the device.
Having said that, and currently using both a iPhone and a HTC TyTN 2 (Tilt) both platforms have their benefits, with WM having more flexibility and more user control over the device, while the iPhone provides a much more slicker user interface.