plenty of good advice for you so far and i'll add my vote for calibre which is truly a brilliant application and makes life so much nicer for us ebook readers
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as for your choice of device, i strongly recommend you get a device which can read epub, the new industry standard format. read the first page of
this thread to find out why epub is important. the sony devices already do natively, (as does the iphone / ipod touch, using the stanza app, and in fact any web browser), and bookeen has announced support for the cybook but not yet implemented it so if you decide on a cybook i would wait for that. other devices are also announcing epub support and should be implementing it in the coming weeks / months, so your choices are not limited to the sony or the cybook.
epub *can* easily be converted to other formats (especially now that the adobe drm has been cracked) including mobipocket, however converting from epub to mobipocket you'll end up with a somewhat inferior file in terms of layout and future-proofing, particularly if the book has any kind of special formatting. epub is overall a far better format than any other ebook format currently available.