I live in New Zealand and bought my PRS-505 in the US whilst on a business trip.
Personally the only thing that was vaguely worrying was the lack of warranty but I've had good experiences with electronics in the past so it wasn't that big a deal.
As for content there is plenty of stuff out there that's free and plenty of purchasable content that with (or without) a bit of work can be read on the 505 (and more now that epub is viewable)
I've had mine for 18 months now, use it every day, and the only thing that worries me is being without it!
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