Believe me, you're not the only one who just wishes they could buy Amazon e-books to read them on any reader they chose. In fact, I'd bet a lot of new Sony Reader customers (and those who got them as gifts) thought they'd be able to buy and read Amazon e-books. (And possibly vice-versa, since Sony books can't be read directly on the Kindle, either.)
Many of us who've contemplated the possibility--and viewed the reality--thought it was Bezos who was the idiot, purposely locking out potential revenue from people who already had other readers, PDAs, blackberries, laptops, etc, and weren't interested in buying one more device to be used on a single service only.
Fortunately, the arrival of the Kindle store has not signaled the death-knell of the other e-book stores. Maybe if the other stores persist, Bezos will see the value of other readers and other formats, and act accordingly to promote cross-functionality and more sales.
(Oh, look... a cute little monkey just flew out of my butt!...)