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The page turning is roughly equivalent on all of them: you get used to it very quickly when reading, but it's annoying to have to flip multiple pages at a time, or navigate through layers of bookmarks.
The Sony reads epub (which is growing in popularity, and someone else can tackle the "what's so good about it" part), and has the advantage that you don't have to email files in to be converted--you throw them on the drive, and they're readable. This means it's relatively easy to tweak formatting settings, convert with Calibre, and try again, when learning to create ebooks. Between Calibre and BookDesigner, the format of the source file is more a matter of convenience than necessity. (There are some exceptions, but it doesn't sound like you're expecting those to be of major importance.)
Kindle has search and dictionary functions; the Sony does not. The new Kindles seem to be limited in size (2gb is substantial, but not enough for an extensive ebook library); Sony has two memory card slots of different types. Kindle allows annotations; Sony only has bookmarks, and I don't think they're exportable.
I've been told Kindle's PDF support is poor; I have no idea if it's worse than the Sony's. (I don't mind the PDF support... but I'm perfectly willing to read a letter-sized page on a six-inch screen.) The Sony at least allows me to look at the PDF on a computer screen if one's available.
For me, the combination of "throw files on it at will" and "don't have to email my reading material to Amazon" make the Sony a clear winner. For other people, the wifi and search functions are crucial, and for them, the Sony is nearly useless.
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