Kobo is the only vendor that has a waterproof/water resistant model (I'm still not suggesting you read underwater...) Others have overcome that by putting a plastic bag around the reader for the beach, tub reading, etc. That product is the H2O.
I'm a little afraid of Nook because I always wonder if they will go out of business. There is a new model out:
http://www.barnesandnoble.com/w/nook...=9781400501656
Kindle (Amazon) has the most selection when it comes to readers (and small tablets that can be used as a reader). They're all on sale right now, so you could get a relatively inexpensive one for an entry point. I have an older model and like the fact that it has page turn buttons. I LOVE the page turn buttons.
I do convert from epub to mobi and don't have any problems. I use calibre. Trouble free? Usually. If a book has DRM, it can be another step. Now and then a file gives me problems.
Prices of books are generally the same all over, however Kobo can run higher sometimes UNLESS you have a coupon or use their point/club system. For some inexpensive entry point Kobos, I've posted a few times about just grabbing one off ebay--this seller appears to have new ones, but he doesn't have the H2O (waterproof model):
http://stores.ebay.com/spinningnoon/?_dmd=1&_nkw=kobo
Several people on mobileread have bought one and reported no issues with the seller or the units.
I post kobo book coupons on my blog (I'm an affiliate there and Amazon so I'm neutral!) and any deal I can find, whether I'm an affiliate or not. There's a thread here on mobileread with book coupons as well (coupons rarely work with the big six publishers. These are for small publishers like Baen, Smashwords, TOR, and others.)
There's a deal thread on mobileread on the Kindle readers, but Amazon makes them pretty easy to find!
Also, I find the dictionary on my Kindle suffices almost always (I'm a native speaker though so YMMV).